Confirm you are still doing it correctly, as outlined in these articles:
Change the wallpaper on your iPhone - Apple Support
and Change the wallpaper on iPhone - Apple Support
You unfortunately do not say exactly where you are having problems doing this. If an app or feature on your device is not working, not appearing, or is restricted (grayed out), it may have been disabled using Screen Time, or by an IT administrator if you are using a device owned by an employer or educational institution.
- Read this document about using Screen Time on an iPhone, iPad, or iPod touch --> Use Screen Time on your iPhone, iPad, or iPod touch - Apple Support
Tap Settings > Screen Time > Content & Privacy > scroll to Allow Changes.
- If the device is managed (Settings > General > VPN & Device Management), contact the IT department that is doing the managing.