In ZCM, I created a policy named "Policy-2 Lock Screen Wallpaper" to deploy our company's brand wallpaper when Windows machine goes into lock screen mode. This is still in test environment and we do not use Active Directory  but rather eDir environment.
Here are the steps I defined for this task:

1. Under my policy settings > Details > Windows Group Policy settings > Local Group Policy then clicked on Configure option
2. Then under Local GPO editor, I navigated to the following location: Computer Configuration > Administrative Templates > Control Panel > Personalization.
   
3. I enabled the policy “Force a specific default lock screen and logon image”.
4. Then in that policy, I defined the path to lock screen image which is %APPDATA%\CurrentBkg.jpg and then I published this policy. I suppose this settings should automatically push the defined custom wallpaper to the target machines. The CurrentBkg.jpg file is our company's wallpaper image. 
   
     
5. Additionally, I also create a Bundle and then added the lock screen image file CurrentBkg.jpg to push it to target devices.
     
6. Both my policy and bundle were successful and I can confirm from the target device by using zac bl and zac pl commands and also by checking under Technician Application from the ZENworks agent.
   There are also no Errors under Message Log for each policy and bundle in ZCM which indicates the settings are functioning as expected. 
   
    
   
7. The issue is even though both the policy and bundle seems to be successfully published, I do not see my company's customized lock screen image (CurrentBkg.jpg) being effective in test devices.
8. The policy for lock screen image only works if I manually install the company's wallpaper image in targeted Windows machine by navigating to Personalization > Lock screen option. And even in that case, the custom wallpaper image has to be the "first image" in the order for the it to take effect. Otherwise, Windows simply uses its default available wallpapers for screen lock. See below:
   
9. In other words, the defined policy is working but it is not pushing the specified custom wallpaper. 
10. It seems ZCM is pushing the defined policy/bundles but either something is missing in my configuration steps or is this simply not possible? 
11. Need some guidance from the experts. 

The goal is to auto push company's brand wallpaper to all client machines when the machines goes into lock screen mode.