To select background you go to Settings --> Background: Define pictures or colors for both regular background and login screen / locked screen here.
If you go to Settings --> Privacy, you can turn on that your screen gets locked automatically after x minutes. If you want to manually lock your screen you can quickly hit Super ("Windows") + L.
I might be wrong but I guess the traditional screen saver does not exist anymore in modern Fedora. Under Settings --> Power or Perfomance you can set that your screen gets dimmed when you are inactive, and a timer when sceen gets turned off. I guess there is just no need for a screen saver, unless you mean the "locked /login screen"...?!
Another option is access this is using dconf-editor
: The keys org.gnome.desktop.background and org.gnome.desktop.screensaver have all relevant information.