If using Microsoft Exchange / Corporate sync, some screen lock options (e.g., Face Unlock, Pattern, PIN) may be unavailable.
These steps can also be utilized to change your current screen lock setting.
From a Home screen, tap Apps (located at the bottom).
If unavailable, tap the dropdown menu (located in the upper left) then tap 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.", tap 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, tap Continue.
If presented, enter the current PIN/password/pattern.