I thought I'd post here as the issue is almost identical, just about another setting.
I want to change the image my Win8.1 load to, but the personalization settings are locked to be changed by the system adminitrator as shown on the screenshot below:
It looks like you have a group policy set restricting the lock screen from being changed. If so, see if using an option in the tutorial below to enable changing the lock screen will allow you to afterwards.