For the solution, scroll down, for the story, read on.
After returning from holiday last week I had some Windows Updates to install and afterwards my lock screen was changed. Whenever I locked my computer it would show up like below.
|Black Lock screen without background|
And when I then want to log in and entered the sign-in screen, the Windows spotlight background appears, as I expected in the previous screen.
|Sign-in screen with background|
After some searching I couldn't find this specific issue so I started looking at the Lock screen options myself.
You can open the Lock screen options by typing "lock" after pushing the start button and clicking Lock screen settings, or opening the Action Center by clicking on the notification icon and clicking All settings > Personalization > Lock screen.
Either way you should end up in this screen:
|Lock screen settings|
I found out that the slider on the bottom, the one that reads "Show lock screen background picture on the sign-in screen", is the culprit. Apparently this also makes the background go away at the lock screen, they could've mentioned that IMO…
By switching the button in the Lock screen settings to Off, the background will appear again in the lock screen.