If your M365 E3 licenses include Windows 10 Enterprise, then make sure that is assigned to a user, then you don't need KMS or the Intune policy to upgrade to Enterprise. Windows 10 Pro should step up to Windows 10 Enterprise when the user logs in (if it is Azure AD Joined or Hybrid Azure AD Joined). See https://learn.microsoft.com/en-us/windows/deployment/windows-10-subscription-activation#requirements
Have you tried creating an Intune policy specifying a URL for the wallpaper as per https://learn.microsoft.com/en-us/mem/intune/configuration/device-restrictions-windows-10#personalization ? If not, what is the exact blob storage method you are using?