More than likely your "Low Power Mode" is ON. With this setting ON, iPhone 6s WILL NOT allow Dynamic wallpapers to animate... such as the beta fish wallpaper.
How you can tell you Low Power Mode is ON, and preventing you from selecting "Live Photo" after choosing which wallpaper you'd like:
Settings > Wallpaper
*under the screenshots of your existing lock and home screen* you will see:
"Dynamic wallpaper and perspective zoom are disabled when Low Power Mode is on."
THIS^ LETS YOU KNOW WHY YOU'RE UNABLE TO SELECT THE LIVE PHOTO OPTION when trying to set your lock screen wallpaper.
Also, it is a good thing to note that Live Photo wallpapers can ONLY be set to the LOCK screen, and NOT the home screen.
So, as long as you disable your "Low Power Mode" setting in Settings, you should be able to select "Live Photo" as your lock screen wallpaper!