Currently, there IS no 'Wallpapers' link on the front page, dead or otherwise. It's just text, just like Videos, Karaoke, and Manga. I believe the plan is to eventually either add such features to the site (I know Karaoke was being worked on and we had a spat of Manga features being tested) which will eventually be linked through there.
Setting a link to the Anime Wallpapers thread (which has been dead for over a year now) would be a waste, and the 'Show your Desktop' thread isn't really the kind of thing people would expect when clicking the link.
"Making a page for it" isn't necessarily as easy as it sounds. There's more to it than throwing a webpage together with random pictures. Preferably there would be a way for users to submit their own wallpapers, and an organization system separating the wallpapers by category and - amongst anime based papers - title of the show it's from. Further, features such as rating, user applied bonuses, etc may be desired, which also requires work.
Better I say to leave it as is until something truly complete is ready to go up than to link to some half-assed page or a forum thread that has no activity and little to show.