What platform, device agent version and MDM API are you using on your device?

Pushing an image file, like pushing  of any other files (e.g. using file-sync rule),  that can potentially be selected as Wallpaper via Device's Settings is possible. 

But using MDM to remotely set the image file as the new wallpaper or to lock it from being changed are currently not supported for Android Enterprise agent, according to current Google AE MDM API spec.  

Even if this feature is added in the near future, it is more likely to be supported only  for Android Enterprise device in managed-device mode, and not for those  in work profile mode.  Based on what you said in another question posted together to the current one, I guess your device is in work-profile mode. You can easily confirm by tapping on the Mobicontrol  agent icon and see the Active API version shown in the "Device Configuration" tab. You need to factory reset your device to get it in managed-device mode (enter afw#mobicontrol when prompted for Google account and with MGPA/MGA account set up beforehand).