I know this is an old post, but it's still the first thing that came up when I was searching for a solution to this. Hopefully this will save someone else.
To remove the message "This setting is managed by your administrator" from the Core Isolation, Memory Integrity toggle, run the following command in an elevated Windows command prompt.
reg add HKLM\SYSTEM\CurrentControlSet\Control\DeviceGuard\Scenarios\HypervisorEnforcedCodeIntegrity /v "WasEnabledBy" /t REG_DWORD /d 2 /f
That will add a Reg_Dword called "WasEnabledBy" to HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\DeviceGuard\Scenarios\HypervisorEnforcedCodeIntegrity and set its value to 2.
You may need to reboot but I didn't.