Galaxy S5 - can't change lock screen wallpaper?

Open Gallery. Select a picture. Menu. Set as. You can choose homescreen, lock screen or both. Once you've dne it once, it's a 30 second procedure. (Remember to save the picture once you see it in the boxes showing how it will look in landscape and portrait. Backing out of Gallery won't make any change.)

Mine still doesn't work
 
on my G900A (AT&T) Settings > Wallpaper
and I then have the option to choose a photo from my photo gallery

I don't have the option in the gallery menu