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Could you please elaborate? What happens when you try to choose a wallpaper to your locked screen via Settings > Display > Lock screen?
Have you tried to choose a wallpaper with the "Xperia wallpapers" instead of choosing "Album"? If yes, does this work?
But what happens when you try to choose a picture that you've taken? Do you receive any error messages?
That's strange, it works fine for me. Could you please give me a step-by-step guide on where you press in the menus and which options/programs you choose to open different selections with?
You could also try to boot your phone into safe mode to see if you can change the wallpaper:
http://talk.sonymobile.com/t5/FAQ/How-to-boot-your-phone-into-safe-mode/m-p/348008
It would also be great if you can provide me with your build number which can be found via Settings > About phone > Build number.
Nice to hear that you solved it! Thank you for the information. 