Currently, only the main desktop wallpaper is changed in the Wallpaper KCM/page of system settings.

The lock screen wallpaper is changed under Screen Locking via the slightly non-obvious Configure Appearance button in the top bar. It does seem to reuse the same code as the normal wallpaper selection page though, based on appearance.

The login screen wallpaper meanwhile is changed from Colours & Themes > Login Screen (SDDM), and has a different interface. Even though the wallpaper can be customized for each different theme, this is done via a different UI to the other wallpapers.

As can be seen from https://bugs.kde.org/show_bug.cgi?id=367666 and https://bugs.kde.org/show_bug.cgi?id=48889, a somewhat common request is for it to be easier to set all wallpapers to be the same. Either of those requested features would be great for that, but it would also become much easier to set the same wallpaper for all three places if they were simply all collected together in the same section of the settings app.