Check to see if the pictures are downloading into the Assets folder:
%userprofile%\AppData\Local\Packages\Microsoft.Windows.ContentDeliveryManager_cw5n1h2txyewy\LocalState\Assets
Also check to see if both Edge & Bing are set as default as some suggest this is required.
You could use this fix from the elevenforum to reset & re-register Spotlight:
This tutorial will show you how to reset and re-register Windows Spotlight for your account in Windows 11. In Windows 11, you can have Windows Spotlight as a theme and display different background images on your desktop and lock screen, and occasionally offers suggestions on the lock screen...
www.elevenforum.com
I would recommend changing Spotlight to Picture, then restart the pc, running the fix then once complete changing back to Spotlight & restart pc again.
Please follow the instructions carefully & note than it can take 24 hours for the photo to change.