@Smail IFRI European Partner,Thanks for posting in Q&A.
For your issue, the error message may relate to Windows edition.
Based on my testing, my lab is Windows 11 Enterprise, and I configured the profile for a Wallpaper using https://pub-mediabox-storage.rxweb-prd.com/exhibitor/cover/exh-2a997f64-10ad-4250-a7cb-b3d6a4fe6fdc/desktop-cover/463e473e-b860-4447-aeb7-648af4cf222d.jpg in Intune, and it apply successfully.
Please check your OS edition, and the wallpaper configuration profile is only available for Windows Enterprise and Education.
If there is any update, feel free to let me know.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.