I don't think the Weather Channel app can be set as the Lock Screen image provider in Windows 10 Mobile - the same seems to be true for MSN Weather.
I've got several weather apps installed, and only these can be set as lock screen from my app list (in no particular order, and I've got the Weather Channel app and MSN Weather installed):
Accuweather - Weather for Life
Forecast (paid)
WeatherBug
AppyWeather (paid)
Weather To-Go (paid)
Prognoza (paid)
GooTile Weather
Amazing Weather HD (paid)
Umbrella 8
Skyline