The solution was easy: rename Calc.exe to Calc.scr and it will appear in the Screen Saver Dialog box. But not all EXEs will work.
EDIT: Not all EXEs work in the C:\Windows\System32\ folder, but those that did not work there, work in the C:\Windows\ folder. These were the ones that depended on external DLLs. Something I noted, but I don't know how or why that is.