Hi Greg,
I have version 1511 (OS Build 10586.36)
While trying a few things out to respond to your post, I both resolved my issue and came across what looks like a bug. Here is the info for a bug report.
Below is what my options screen looked like. Hitting "Remove" did something so that the system no longer recognized me, but it did nothing to change what options screen looked like. In other words the screenshot below remained the same after hitting Remove. And I could continue to toggle "Automatically unlock the screen ..." on and off. And while Hello no longer recognized me, it wasn't getting disabled.
The way out of this turned out to be to click "Improve recognition", which set up my face recognition all over again. Then come back to this screen and click "Remove", and this time it worked, really disabling Hello.
Why it didn't work the first time - don't know. Maybe some sequence of conditions or actions that prevented it from completing the removal completely the first time and hitting "Remove" again no longer had any effects.