Unfortunately no, the Ventura behavior is another thing, you simply have to download the image to use it as a wallpaper (in order to don't have a huge folder in "/System/Library/Desktop\ Pictures" .
I don't know if macOS Ventura fixes this behavior of Photos, I'll try when it will be out of beta.
I don't know if macOS Ventura fixes this behavior of Photos, I'll try when it will be out of beta.