There seems to be a bug with settings from Garmin Connect (website) or GC Mobile overwriting watch settings. Try changing the setting on GC or GCM, then syncing.
Mmmh, this is 4 years old now and Garmin still has not fixed the bug. When I connect to the web site, under device settings, fitness tracker, the "inactivity alarm" is set permanently to "on" (green) and I cannot change it.