I've found you also need to set the key in the current control set :
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Lsa
Create a new DWORD LsaCfgFlags and set it to 0
Copy the following into a .reg file to do both
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows\DeviceGuard]
"LsaCfgFlags"=dword:00000000
[HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Lsa]
"LsaCfgFlags"=dword:00000000
You will need to reboot for it to take effect.