Umm that's an interesting question actually.. I didn't really think about it until now, but I don't think I know anyone who has their own photo on their lockscreen
I think maybe they think it is conceited because usually people put images of someone they admire or are in love with or whatever on their lockscreen, like onedirection or parents put their kids maybe
So maybe they are like thinking that you are a bit "in love with yourself"
But I personally think if it's a good photo and you are proud of it, what's their problem?