Changing of a production target improvement
Palace is neither Great Wonder (= max one in entire game) nor an improvement (= max one in a city), but a Small Wonder (= max one for a player)
Should look through the help what has confused you... Maybe the fact that in commercial games it is an improvement?
I am building a palace. I change it into another improvement. I was surprised because the amount of shields for the building of the palace was divided by 2 for the new improvement but not for the building of a wonder. Why the palace is considered in the help as a improvement whereas it is considered as a wonder when it is built ?