You definitely can change the icons on the lock screen. As has been noted by others, whatever you have in the dock (the little bar at the bottom of your home screens) is what will show up on the lock screen:
Yes you can change them out.....the ONLY Htc Phones ON Verizon that allow you to have 2 diffrent sets of Widgets are the Rezound running 4.0.4. With Sense 3.6 and the ThunderBolt running the same software.