I created that HypervisorEnforcedCodeIntegrity/Enabled (value 1) key and didn't work; came across with that Administrator thing.
But I'm administrator.
Then I add two more DWORD keys (values) under HypervisorEnforcedCodeIntegrity key:
ChangedInBootCycle - hex value: 1dacfcd0
WasEnabledBy - hex value: 2
Found those keys (DWORD values) on another drive with working memory integrity.
Rebooted.
Now memory integrity is enabled in security control panel.
It's working in my case, anyway.
I guess bugs and permissions are just flying around.