I just upgraded to the latest version and for some reason I can't un-tic the options for "Generate direct links" while NGINX is enabled.
If I disable NGINX, I can freely allow or disallow "Generate direct links".
Answer
Because the server uses nginx, and for the nginx-mod to operate, the direct links must always be active. That's why the direct links can't be disabled.
Perhaps admin_settings -> Mods -> Show direct link is what's are you looking for.