http://www.askvg.com/fix-cant-change-smartscreen-filter-settings-in-windows-8-and-later/
찾아보니 이런 글이 나오네요.

METHOD 2: Using regedit.exe
Go to following key in Registry Editor as mentioned in above steps:
HKEY_LOCAL_MACHINE\\SOFTWARE\\Policies\\Microsoft\\Windows\\
Now create a new key System under Windows key. Now select System key and in right-side pane, create new DWORD EnableSmartScreen and set its value to any of following:

2 (To require approval from an administrator before running downloaded unknown software)
1 (To give user a warning before running downloaded unknown software)
0 (To turn off SmartScreen)
That\'s it. Now users will not be able to change SmartScreen filter settings using Action Center.

위에 있는 경로에 스마트스크린 관련 레지스트리값이 있으면 제어판에서 바꿀 수 없다고 하네요. 해당 레지스트리 값을 원하는 설정으로 변경하거나 삭제 후 변경하지면 되지 않을까 싶습니다.