It happens, if You've installed new version using Windows Update. There should be much more similar errors, which You probably haven't discovered yet. This isn't Windows 10 1709 error, but the registry still contains data from previous version, which are different from currently installed version data and not allows current Windows run correctly. The only way to repair is the new clean install.
You can try this: open regedit, and go here -- HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows\Personalization. If there is no string called LockScreenImage, create it, and set value to path to your image. If it still changes go to permissions in personalization, change ownership to you, remove everything else, and set your permissions to read only. It took me less than a second to find this online with google. Google is your friend!
I would advise not to use this outdated method so as not to cause further problems. Everything what glitters, isn't still gold.
Try this: Open System in the Control Panel or by pressing the Windows and Break keys at the same time. Click on Advanced system settings link. It will open the System Properties box. In the Advanced tab, click on Settings under the Performance heading. Check the “Animate windows when minimizing and maximizing” checkbox and click on OK. Then try your Picture on the Lock Screen.
Can you tell how to do this if the so-called "Break Key" is only used by Fn key (for example Dell) or if is used with the combination CTRL+ALT+ESC+Fn+Right SHIFT keys (HP) etc?
Just go to system through control panel. type control in the run dialog box, and press enter, then click on system.
yeah me too, on a clean install that is. The OP's issue I guess is that he upgraded from the Anniversary update to FCU
In this I'm agree with @dhjohns, it is absolutely right, there is no problem with lock screen images and this is not an OS (FCU) problem. But one is clear, there is some changes and You cannot use old tools and solutions.