Good luck, that's not how it works from what I've seen.
Speaking from experience, this is true. Only the financial part of the transaction goes through Walmart like any other marketplace & 3rd party vendors. Walmart has no control over the shipment or product being sold or any other issues. If you need to return the item or request a refund for whatever reason, that is handled by the 3rd party vendor. You can have Walmart do it for you but all they are doing is being the middle man, no different than the buyer doing it themselves. If a return label is provided it,s provided by the vendor, not Walmart.
Only if the vendor refuses to cooperate or is unresponsive then Walmart may step in but that doesn't mean the case will always be in your favor.
Earlier this year I broke my rule to never buy from Walmart 3rd party sellers but I took a chance on an item that was kind of scarce. In the end I got my money back. Not saying every transaction on Walmart marketplace will have issues but never again will I risk it.
There's far more shady sellers on Walmart marketplace than on other marketplaces.