Welcome to this desert-like forum 😛
Not sure if you can add the backdrop into the max file as it would get the shader that you apply. Maybe it works if you give the backdrop a different material ID. There is in the Slate view if you right click on the preview a “material id channel” so setting the backdrop to id channel other than 0 could actually work, can’t promise tho.
Otherwise I would just fake it in the PSD file that I provided, so just make it look like a backdrop. You wouldn’t get the caustics tho.
The only way I know to get it in the slate view is to first in the standard click on the background and the Custom object then switch to Slate and drag in that material from the sample slots.