Googling this problem yields Why can't I create a picture password?:
If you don't see this option, your domain or network settings and security policies might be set to prevent you from creating a picture password. For more info, check with your system admin.
Googling further yields Passwords Overview:
Picture password on domain-joined computers.
Picture passwords are not disabled on the domain joined computers by default. The behavior can be configured using GPO System\Logon\Turn off picture password sign-in
You should investigate whether you have Group Policy configured on this setting.
EDIT If you want to check what group policy settings are being applied, run
rsop.msc from the Run menu.