Sddm (the lock screen manager) doesn't respect your locale / time format selection and displays time in an/pm format.
To use 24-hour time (or any other custom format), find Clock.qml in /usr/share/<some_path> e.g.
/usr/share/plasma/look-and-feel/org.kde.breeze.desktop/contents/components/Clock.qml
/usr/share/sddm/themes/breeze/components/Clock.qml
/usr/share/sddm/themes/sugar-candy/Components/Clock.qml
and change lines that look like this:
text: Qt.formatTime(timeSource.data["Local"]["DateTime"])
to
text: Qt.formatTime(timeSource.data["Local"]["DateTime"], "h:mm")
(or any other format string).