Security options must be modifiable before the first pin/chip use of a new card!
As far as I remember-they are (you cannot activate card via magstripe or contactless, but switches should work)
They are all disabled until your card is not “delivered”.
I got my card sooner and during one day all the features were disabled.
Today, in the day when the card delivering was expected, the security features looks to be enabled by Revolut. Only “contactless” is disabled. It will be enabled after the first purchase with PIN.