If you have a sequence of images and you get to the last one, you can invoke the wrapping behavior by triggering the Next action--by clicking on the toolbar button or its default keyboard shortcut, the space bar. But you can't invoke it using the right arrow key. That should work, too.
I've submitted a patch that fixes this: https://phabricator.kde.org/D9039
Fixed by Marco Martin with https://invent.kde.org/graphics/gwenview/-/commit/736ef0445944ab87c22958f1fdfbfd70f5268884. You can now always press the arrow keys to wrap when reaching the beginning or end.