Recently updated my S5 to Lollipop and connected to PC via USB earlier today and got no problems (MTP) or (PTP) came up as usual..
I'm not sure why it wouldn't come up.
I've been trying to find/enable/check MTP settings on my Sony Experia (Android 4.4) for over two hours now... this seems to be a very common problem for people at the moment. I also don't have any "More Options" item in Settings > Storage, and no "More" ellipsis top-right. Maybe if you find yours on your Galaxy, you could tell us where you found it and it might be in the same place on mine.
If the Android Lollipop doesn't show the menu to change from MTP to PTP, just put this code *#0808# and change it to PTP, after plug-in the phone to the computer the menu will show up.