This is really strange, because I have tried with these two apps.It's an Android 11 bug, I faced this in other ROMs, too. Then I was able to set it from GalleryGO or Google Photos.
Every time I press the item "set as" it appears then "complete the action with: google photo, gallery go" I press on one of the two but the original phone interface always returns to set the wallpaper. However from here I set it for the lock screen, but the same is not seen. But every time I want to set a wallpaper and go to the right pane for the lock screen, the photo set is shown, but only in this preview. I tried in another way, setting a lock screen photo with an app called "Walpy" which didn't open the wallpaper phone system interface, but still not seen. I hope I was clear..maybe I do something wrong