I'm not sure which is the following instructions resolved the issue, but I now have a location set for my weather on the lock screen. If you too, are having this issue try the following procedure....
1. Remove any weather widgets from your home screens.
2. Clear the cache, and data, and force stop all 3 weather related apps. To do this, go to Settings, application manager, and then flick right until you get to the list of all programs. You should see one called weather, one called weather theme, and one called weather platform. Do this for all 3 apps.
3. Turn on Location. I used the power saving mode and this worked fine.
4. Add the 2 X 1 sized widget to your home screen. Do not add the 5 by 2 widget. Click it, and set your location via the current location button. Do not manually type in a location.
5. Go back to your home screen and verify you have weather data for where you are. Then turn off your screen and verify you have weather data on your lock screen.
Hope this helps!!
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