See my blog post about this covering background wallpaper customization:
https://www.linkedin.com/pulse/intune-advanced-automation-part-3-windows-branding-mirochnitchenko
I remember trying customize screen saver 1-2 years back and it was a pain thing to do, it required some 3rd party special app which we would need to purchace so I gave up on that. Maybe customizing Lockscreen would be satisfiable for need?