I had a similar problem after updating to 5.0.1.
I set the pin lock, no problem, but the following day I went to remove it and it was the same thing with options being greyed out, essentially locking me out of my own phone.
If I didn't know with absolute certainty that no one had access to my phone, I would have thought someone had hijacked it.
I spent a few hours with customer service reps ranging from in-store to level 3 techs on the phone, no one had a clue. It was even suggested that I get a new handset since it's under warranty. But I didn't want that hassle after having spent the last 3 months getting how I want.
Seems that when I also updated a bunch of apps after going to Lollipop, something didn't play well together.
I uninstalled the updates, restarted the Note4, and all is good.
Do you use a launcher other than stock?
I didn't have time to uninstall updates one by one, then reboot and check, but I believe it may have been the launcher I was using at the time.
I remember messing with its lock screen plug-in earlier in the day.
It's just speculation, but I feel it was the locker option. JMHO
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