@ajfoto : The image slideshow section is Featured Slider section and it’s not Header Media section.
To change the slideshow images : Login to your WordPress admin section.
Go to Appearance => Customize => Featured Slider
Under Enable Slider on : Select Homepage/Frontpage or entire site.
Under Select Slider Type : select Page and select the pages as desired. The featured images of pages will appear as slider images. Let me know if this helps you out.
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