Sddm is the display manager that shows up when you first log in to Lubuntu or logout or choose to another session. This has no graphical application to do this.
To change the picture for your user when you login simply copy the file you want as your user picture to in your home folder with the name .face.icon .
If you want to install other themes for sddm in muon or from the command line search for packages that start their name with sddm-theme. The theme will be stored in /usr/share/sddm/theme/. To test and see what this new theme looks like run