There are a few reasons individual settings could be disabled, but from your comment that this is business property, the most likely explanation is that certain settings have been set and locked by policy.
Info-sec choices like the one you're hitting are usually in place to protect corporate intellectual property, trade secrets, customer data, and the like. With the setting in question, they're envisioning say… you would intentionally lock your screen and walk away from your computer, then some web-based tool (email/slack/corpo-webapp/etc) could rightly pop up a notification via Chrome, and it would then inadvertently be showing for anyone passing by to read, even on the locked screen.
So, sorry—no quick fix. If displaying Chrome notifications on the lock screen is important to you, it's likely a matter to discuss with your coworkers in IT.