If you'd rather use a flat color instead of a background image, disable the «Show lock screen background picture on the sign - in screen». (howtogeek.com)
We fixed an issue where the lock screen background would be lost after restart if «Show lock screen background picture on the sign - in screen» was turned off. (blogs.windows.com)
To add your own background picture, click «Browse» and select any picture stored in your PC. (howtogeek.com)