Group policy lock screen is not updating when the picture changes

Group Policy may not have refreshed yet. It is not an instantaneous process, the clients have to actually check for new policies, which happens at an interval that is defined in the Default Domain Policy.

Even if the interval period has passed, some settings are not applied until the computer starts up, or a user logs in. You can check the policies that are applied to a machine by running gpresult /H. This should give you some hints about whether or not the policy is applied and the machine just needs a reboot, or if it isn't applying and you need to either run gpupdate /force or look at the event logs for errors.

You mention that you removed the default "Authenticated Users" from the Security Filtering. Have you added your account to Security Filtering? If not, you will need to do so, for the policy to apply to your account.