I selected the integrated payment form but it shows an error 404 - page not found.

If the integrated payment form can not be displayed this is because the URL of the sales channel is not set properly. This can be changed under settings > sales channels. Look for wallee and view details. Make sure that the URL displayed in the form is exactly matching the URL in your Shopify integration config.

See the screenshots below where you see, that the w has to be present in both screenshots.