Pierre, you wrote "I don’t use iCloud Photos,", but still you are getting the error message "unable to load photo". Just to be sure - have you checked, if iCloud Photos is still turned off? On some versions of iOS a system upgrade would turn it on by default, without you being aware of it, if you are having an iCloud subscription.
- If iCloud is really not the problem, check the free storage. Spatial photos need more storage than 2D photos. Lack of local storage can prevent the creation of spatitial photos.
- One possible problem, that has not been yet mentioned in this discussion is the image format. Spatial scenes are not supported for all kinds of photos. The user guide is just stating "If you’ve added a photo that supports spatial", but not telling us, which formats are supporting spatial. We have to experiment to find out.
Try to take a new photo (a still photo, not a Live Photo) with the iPhone camera, save it to Photos and try to add the new, saved photo your wallpaper. Can you turn it into a spatial scene?
Have the photos on your iPhone been synced to the iPhone from a computer? The user guide does not say, if synced photos can be used for spatial scenes. Try to use photo that you have saved tp Photos directly from the iPhone camera instead of a synced photo.