Ok I found it,
You have to got to Security>Advanced>Trust agents
In there there's a switch. If you switch it on then Smart lock appears at the very bottom of the advanced menu.
Thanks Samsung.
Yeah, I've just "upgraded" to 5.0.1 as well but I can't find smart lock either. And even worse, the other app I was using on kitkat to automatically unlock when connected to trusted devices, no longer works.