You can change your lock screen in settings => personalization => lock screen. To just show one picture use the settings below:

Run gpedit.msc to check if it’s a permissions issue, look for the “prevent changing lock screen and logon image” setting and change to “not configured” if needed.

A bug in Windows 11? I tried to use this image as a lock screen image, but it didn’t work. I opened the JPG in Windows 11 Photos and saved the picture again as a JPG. This time the image worked!