I detest most of the Spotlight photos, so I have the Background set on the Windows rectangle graphics, but of course any photo will do.

Then for the Lock screen I finally made this discovery (which might only work with v1709, newly installed, dunno). Anyway, by FIRST selecting a Photo for the Lock screen, then closing that page and returning (not sure if that is necessary, but it's what I did TWO times, trying different starting photos).

THEN set it to slideshow (I used Camera Roll) and it will start the slideshow with the photo first put in!

Click image for larger version. 

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