I'm wondering about that too. I've been playing around with the background removal in Photos, and I just assumed that if there is a subject and you can remove the background there, that you can use the same photo with the depth effect on the lock screen...but now I'm not sure. The AI might be looking for some other kind of composition or quality.
Try this:
--Wake your phone and activate the lock screen. Then press-and-hold in the middle of the screen to bring up the lock screen editing.
--At the bottom tap the plus sign to create a new lock screen.
--Among the options it gives you should be "Suggested Photos". It's clearly looking through your library for photos that meet some AI criteria. Among mine I have some that have the depth effect turned on (that is, the top of the subject overlaps the text of the clock, making it look like the clock is somewhere in between the subject and the background).
You can play around with that just to get a feel for what depth effect does. The depth effect definitely does NOT work if you have any widgets below the time.