You can still do it, but it's not intuitive.
Go to Settings > Wallpapers and Themes
Tap on "From Gallery" under "My Wallpapers", then choose "Lock screen" at the bottom from the pop-up options (don't worry, this doesn't set the first photo in your gallery to the lock screen wallpaper, even though it makes you think so).
From the new screen, select all the photos from your various albums that you want in the slideshow, then tap "Done" at the upper right. Give it a moment to show you the confirmation message, and you're done. (The first time I did it, I backed out before the confirmation message and it didn't work.)
03-14-2017 01:49 PM