Hello Saulius,
Thank you for posting on the Microsoft Community Forum.
There seems to be a conflict between the Group Policy settings and the functionality of the Wallet feature. If you can confirm that the Group Policy is in effect, then it's likely that the functionality of Edge is limiting the Group Policy settings you're trying to configure.
This conflict should be inevitable, involving the underlying code design of Edge, and cannot be resolved.
Best Regards,
Neuvi Jiang