However, if you keep a Wallpapers album in Photos like I do, you can tweak the ‘Save to Photo Album’ action to use that album instead. There’s another useful way to grab colors directly on your iPhone ...
With iOS and iPadOS 14.3, Apple restored the ability (first seen in an early beta of iOS 13 in 2019) to change your Home and Lock Screen wallpapers via a ‘Set Wallpaper’ action in the Shortcuts app.