Look at the "Sponsored items customers also bought" bit of your own link, Jennyjoan.
You'll see that tape dispensers with a wheel inside them (for the tape to grip onto) are often described as 'heavy duty' models. With such models, you need to ensure that the size of the wheel matches the size of the tape that you're using. The one you've bought is more of a 'general purpose' model, which is designed to be used with any size of tape but (because of the absence of a wheel) might not work quite as smoothly.
These dispensers include the wheel that you mentioned but you need to take care to ensure that you get the right size for the reels of tape that you use:
https://www.ebay.co.uk/itm/234479445674