You’ve selected all 8 vertices so Blender doesn’t know how you want it done.
Select only the 4 Vertices on the closest rectangle (I circled them in pink) and click F to create the Face. Then do the same with just the 4 furthest Vertices and click F again.
A few more things:
Select the red Vertices I marked, and then the light pink one. Click M to merge and choose L for last. It’ll clean up the mesh by combining all the red Vertices at the light pink one, reducing the number of Faces. Do the same for the other transparent Mesh bottom corners.
Take the peaks of the 3 top bumps of the arch (the light blue/green arrows), select the 2 closest Vertices at the top corner of each bump (the 2 light blue/green Vertices) and Merge them (click M & then C for Center). Do the same with the 2 dark blue Vertices I’ve marked.
Select the internal faces between the peak top faces marked with pink arrows and delete them. Do the same for any other internal faces you find. They’ll affect your shading of the Faces.
There are probably faces on the bottom of the 3 bumps that are hidden inside the arch. You can remove these as well. Almost any face that won’t be seen can be deleted to decrease the total number of faces and this will slightly increase your performance.
I bet you’ve still got faces inside between the front and back faces. In your 3rd picture (the one I copied) you can see those faces in orange.
Like I said, get rid of all internal faces like those.