You have to use the “with desktop” version, I once spent a few hours fighting to get the wifi set up because i was using the “lite” version. The lite version doesn’t react to the wpa_supplicant.conf file.
I don't believe that's true in the most recent versions. I just set up a headless pi with wpa_supplicant in the boot partition of a raspbian lite image that worked well a week or so ago.