I can’t set a Live Photo as my lock screen.

Live Wallpapers and Dynamic Wallpapers both add movement to your iPhone's home screen and lock screen. And while both of them deliver eye-catching animations, they're not the same thing. Here's what makes them different:

Live Wallpapers: These wallpapers seem like still images until you long-press the screen. When you do this, they come to life and start to move. Live Wallpapers need the 3D Touch screen in order to be activated with a long-press, so they're only available on the iPhone 6S and newer but not SE. Another limitation is that the animation only works on the Lock screen. On the Home screen, Live wallpapers just look like still images.

Dynamic Wallpapers: These are more like short video clips that play continuously in cycle. They work on both the Home and Lock screens. They don't require the 3D Touch screen to work. Instead, they just work on any iPhone running iOS 7 or newer.