you can set any video or downloaded live wallpaper on lock screen by going in gallery, select the video or live wallpaper and on top right corner there tap on 3 dots and there is a option to set it as wallpaper.
An official way of doing this would be great. There's been alot of updates recently this should be one of them. Third party apps' ability to do this kind of makes Samsung look bad that it wasn't built in into the software in the first place.
