@Lybon, Thanks for posting in Q&A. From your description, it seems you have configured "Locked screen picture URL (desktop only):", but it shows not applicable. For the URL to a picture, please confirm if it is in JPG, JPEG, or PNG format. Meanwhile, please confirm the device is with Windows 10, version 1709 [10.0.16299] and later and the URL is http or https.
In addition, please confirm the URL can be accessible without authentication.
Please check the above information and if there's any update, feel free to let us know.
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