The Wunderlist connector does have a Create a task action, so you should be able to do this. Are you using a Get list action before the Create a task action? If not, you may want to try adding that step first.
If you still can't get it to work, refreshing the connector's authentication properties may help. Periodically you may need to refresh a connector, especially if you have recently updated account settings, including changing ones password. In the Wunderlist connector in Data -> Connections menu within Flow, you can click the elipses ... 
... and select either Switch account which will allow you to re-enter your account's login details, or Delete and then re-add the connector. 
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