The function for a factory reset (the screen you see trying to enter recovery) is in the bootloader, which is locked as you probably know already. What's happening is usually caused by a corrupt aboot or recovery image. Could have been from a bad downloadl (poor connection, interruptions) or the Compression Program you used to extract them on your PC (WinZip, WinRAR, etc.). Whatever the case try downloading again, using a wifi connection if possible with your phone or your PC. Use 7zip to extract the files and then use the 2nd method in the CWMT OP to copy the images to the proper folder with a Root File Manager. See if that fixes the problem.