There isn't a single setting for this yet. However if you change them all to
x-terminal-emulator, which is a symlink, you can then later easily change them all at once by using
update-alternatives as you already tried.
To change the global shortcut key's terminal:
Open Preferences > LXQT Settings > Shortcut Keys and double click on the item that has the shortcut you wish to change.
And edit the command.
To change terminal used by PCManFM-Qt, (file manager and desktop):
From the PCManFM-Qt File Manager menu open Edit > Preferences and select the Advanced tab, and Terminal Emulator field.
Default for terminal based programs (
.desktop files with
lxqt-panel (panel and menu):
Set by Preferences > LXQT Settings > Session Settings, Default Applications tab, and Terminal Emulation field.
Run from PCManFM-Qt (file manager and desktop)
xterm in Lubuntu 18.10!
Should use PCManFM-Qt settings, and has been fixed for 19.04.