If using Microsoft® Exchange / Corporate sync, some screen lock options (e.g, Pattern, PIN) may be unavailable.
These steps can also be utilized to change your current screen lock setting.
From a Home screen, tap the Apps icon (located at the bottom).
If unavailable, tap the Dropdown menu (located in the upper left) then select Alphabetical. If still unavailable, refer to Manage App Icons.
From the PERSONAL section, tap Security.
Tap Screen lock.
If presented with 'This device does not have a Google account associated with it. If you forget your PIN, it cannot be sent to you and a factory reset has to be performed to recover the device.', select Add Google account now to setup the account before proceeding to step 5. If desired to proceed to step 5 without setting up a Google account, select Continue.
If presented, enter the current Pattern/PIN/Password.