I also went through all these paths trying to change LockScreen with Powershell script. Ran into the same obstacles as you described. Finally solved with Registry change by creating new key in path as described in blogpost: https://abcdeployment.wordpress.com/2017/04/20/how-to-set-custom-backgrounds-for-desktop-and-lockscreen-in-windows-10-creators-update-v1703-with-powershell/

Windows 10 Pro version 1709

I also went through all these paths trying to change LockScreen with Powershell script. Ran into the same obstacles as you described. Finally solved with Registry change by creating new key in path as described in blogpost: https://abcdeployment.wordpress.com/2017/04/20/how-to-set-custom-backgrounds-for-desktop-and-lockscreen-in-windows-10-creators-update-v1703-with-powershell/

Create new Registry key at: Computer\HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Curre‌​ntVersion\Personaliz‌​ationCSP. Then for this key create strings LockScreenImagePath, LockScreenImageUrl with data set to absolute path of your image. Then set a DWORD, name to LockScreenImageStatus, its value to 1.

Blogger's example PS Script on Onedrive: https://1drv.ms/t/s!AljjQEIEs7p2jWGOBHlScNgjX4-F Verified that it worked on my Windows 10 Pro version 1709