Here is how to enable it:

To enable Lockdown mode via console:
Log in directly to the ESXi host.
Open DCUI on the host.
Press F2 for Initial Setup.
Toggle the Configure Lockdown Mode setting.

To enable Lockdown mode via vSphere:
Log in to vSphere
Click on the Home->Inventory->Hosts and Clusters
Click on the host you want to manage
Click on the Configuration manager
Click on "Security Profile" on the left side
Click the Edit... link next to Lockdown Mode
Enable it!