From what I've seen on my phone (galaxy j4+ so this may have changed) that the wallpaper that is applied to your phone is the one that is set with your theme you have chosen for example if I have chosen a type of cute theme then in the theme preview pics you'll see what it shows in messages and that is the wallpaper that will be applied to your messages app if you apply that theme sorry if that didn't make any sense but if you want to have a wallpaper on your messages then you could rather switch to another app like WhatsApp but it's your choice. Hope I helped!
