Change the Lock Screen wallpaper does not work for Windows 10

I am trying to change my lock screen wallpaper.
It seems so easy but it does not work.
I have a Surface Pro 6 that I use, and I log onto the machine via a Microsoft Outlook account.

I go into gpedit.msc on the local machine and change the lock screen wallpaper, which then changes it in the registry.

I log off and log back on and it does not change.
I reboot and it still does not change.

See enclosed picture.    Any suggestions  

Thanks