Why isn’t there a feature in the gallery app to change wallpaper?

That option is availbale only while changing wallpaper (see point#3 at the first paraghraph in the support article that led you here).

If you'd like, you can submit your request/comment to Apple directly using this form:--> Apple – Product Feedback - iPhone

Regards

Giulio

then request it to them,..

Feedback - iPhone - Apple