It seems that MS boys has decided that only the enterprise edition of W10 deserves to be able of updating the lockscreen image using GP.
This is a complete nosense, nobody is going to update just for this reason but the point is we have a problem if we need to update a lot of computers.
After surfing the internet I found a way to do it copying the image and adding some keys to the windows register.
Finally I set up this script in order to update several computers on one shot.
First the script copy the image to this folder c:\Windows\System32\oobe\INFO\BACKGROUNDS (You can choose a different one) and after that you add some key to the register using psexec.
Enjoy.