If you are wondering none of them are made by us, we just promote the best live wallpapers that are available for Android.
Other than that I think most of these live wallpaper apps need these permissions to provide you with features for e.g.
Location (GPS) for Weather/News near you
Internet Access for Advertisements
SMS/Email probably for live wallpaper notification through some form (some animation?)
Still not too sure about that one, it could be phishy...
Please do tell us which wallpaper you had the issue with and we will take care of it. Thanks again for reporting the issue.