FWIW, the "ads on the lock screen" thing is a wee overblown. Microsoft is the single-party provider of any of their so called "suggested content". Aka, you saw Tomb Raider not because Square Enix paid to be on the lock screen, but because Microsoft was trying to push that you can get AAA games in the Windows Store. The Surface has been up there, I think they put a movie-related one up once or twice, again, referring you to their own Movies app. And they have no animations, moving bits, or arbitrary code.

They're not targeted ads, so they're not using a data profile on you to power them or anything like that. I wouldn't be surprised if they know how many screens displayed them, but there's not a lot of interaction tracking you can really do with a static lockscreen. So it doesn't have the sort of privacy implications of normal advertising either.

So, while you may not like their choice of wallpaper because it is related to a product they are releasing, it's not really much more egregious than the fact that it downloads daily wallpapers on the lockscreen to begin with: It's all stuff selected specifically by Microsoft. And as others have pointed out, it's really easy to shut off.