Many people who use the Home app have the expectation that when you setup custom wallpapers for each of your rooms in Apple's Home app, that they would sync to all of your devices, and when they find out that doesn't happen they request the feature to be added.
I actually prefer not to have Home wallpapers sync, for two reasons:
It allows different family members to chose their own wallpapers
The same photo does not look good on iPhone, iPad and macOS due to how Apple crops the photos in the various devices
Here is the tip:
To make it easier to setup multiple devices, I keep a shared Photo Album of my HomeKit wallpapers. You can share the album with your family members, and you can pick each photo based on personal preference and device size.