I'm not entirely certain about the S6 but typically on Android your lockscreen background changes when you change your home screen background.
That said, my Samsung tablet (running Lollipop so it may change with a newer version of Touchwiz, Samsung's overlay on Android) does allow me to change my lock screen wallpaper separately from the home screen, or at the same time if I choose. To do that, I go to settings, choose the Device tab then wallpaper and I can choose which to set (or both).
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