How to set my handset name

VMOISA is right.....
The lock screen message is a part of your antivirus software....although its not a registered name or something.

You have the option to set Lost message...follow the below path.

"Open Antivirus application---->Settings---->Remote Management----->Lost Message-----> Contact Information" and select the contact name to be informed which can be your name too( if it exists in the contacts or create your own alternate number contact).

hope this answers...... 

Strangely I am facing an issue with the contacts while I am doing the above....I dont find all the contacts from my phone there.......still working on it.....