To those of you having trouble with using a PIN - are there any other Windows 8.1 or Windows 10 machines or virtual machines you use? Back a few builds I was having the same problem you describe. I would set a PIN, but it was either not allowed on the login screen, or was rejected. I returned to a virtual machine on a MacBook I had set up with a previous build, and logged onto it (without a PIN). Immediately, some kind of synchronization happened on my account that allowed me to use a PIN on all my devices - including that very same Virtual Machine (Parallels for Mac).
Try visiting your Microsoft account online, and temporarily changing your password there. It might re-sync around.