This is one of the many features that I personally love about Windows 10. With every image that is shown on the lock screen, you see a bunch of options like “Like what you see?” to help Microsoft understand the kind of images you like so they can serve it to you on a regular basis.
It downloads images from Microsoft servers that are shown on lock screens and it is also used by Microsoft to advertise their services and apps on the Windows 10 platform. Windows Spotlight is Microsoft’s way of providing a great looking lock screen and other types of information for Windows 10 computers.