The lock screen background doesn't appear to be able to be modified. However, you can substitute another background for the lock screen background found at
/usr/share/backgrounds/ubuntu-mate-common/Ubuntu-Mate-Cold.jpg
I renamed Ubuntu-Mate-Cold.jpg to Ubuntu-Mate-Cold.old and then copied my desired wallpaper into /usr/share/backgrounds/ubuntu-mate-common/ and renamed it Ubuntu-Mate-Cold.jpg
An easy work-around.
Edit: The above procedure is also found here -
Edit-2: And also here, in our forum -