Android 7.1.2 Nougat will let you select your live wallpaper location, at least that's the case for some users. Following Google's recent announcement of the Android 7.1.2 Nougat software heading out to users who were part of the Android Beta Program, some users are noticing that you now have the option to set your live wallpapers to just the home screen or just the lock screen, whereas for anyone who isn't seeing this option, setting a live wallpaper automatically sets it to both the home and lock screens with no choice.
It's worth mentioning that some users note this has been available for them since Android 7.1 Nougat, which suggests that Android 7.1.2 may not be the sole reason this option is popping up. There doesn't seem to be a rhyme or reason as to why this is showing up for users who haven't updated to Android 7.1.2, so if you have 7.1 you may have different results then others, meaning the option may not be there. While many people likely tend to keep their wallpapers the same for both screens, there are probably just as many who enjoy having separate wallpapers. This option caters to those people specifically.
This is an option which is showing up within the Google Wallpapers app, so if you long press on the home screen and you tap wallpapers, then select a wallpaper from either "live" category like Live Earth or Live Elements, then tapping on the set wallpaper option for whatever wallpaper you choose should give you a window that pops up which gives you the choice to select where to set it. If it doesn't, then the only thing to do is wait as all signs are pointing to this being a server side switch that Google has to enable, and if that's the case then they're probably enabling the option by region or in smaller batches of users. Google lets you select where you set the wallpaper for regular static wallpapers, so the only options that didn't have this choice were those that were live. Why it wasn't included from the beginning is unclear but it seems now that Google is rolling it out so anyone who has wanted this option will have it soon enough. If you're not on Android 7.1.2 yet and you'd like to be, the factory images are available for download.