I know that's how it should work, but it's not. It'll say it set the wallpaper and bam, it's the home screen wallpaper changed -NOT- the lock screen. Very odd and was curious if anyone else had this issue, maybe even know a fix.
Considered the rooting option, but it has been a coons age.
Edit: The only way I have been able to seriously change the lock screen wallpaper is by using the Wallpaper Gallery ONLY. Not the personal gallery.