Why I can't change "On startup" Chrome option?

Just remove whatever is under this Windows Registry Key HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Google\Chrome.

Note: You can run Registry Editor typing regedit.exe in Windows Start box (Search programs and files)

Another way is to use regedit.exe and go to the \HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Google\Chrome key.

Inside, change RestoreOnStartup to a 1.

1. From PowerShell:

notepad $PROFILE.CurrentUserAllHosts

2. If notepad prompts you to create a new file, choose Yes.
3. Add the following to the file and save it. Adjust the values as necessary to match your desired preferences.

function Fix-Chrome {
    try {
        # This may be superfluous
        del HKCU:\Software\Policies\Google\Chrome\Recommended\ -Recurse -ErrorAction Stop
    } catch [System.Management.Automation.ItemNotFoundException] {}
    Set-ItemProperty HKCU:\Software\Policies\Google\Chrome HomepageIsNewTabPage 1
    Set-ItemProperty HKCU:\Software\Policies\Google\Chrome ShowHomeButton 0
    Set-ItemProperty HKCU:\Software\Policies\Google\Chrome RestoreOnStartup 1 # Restore the last session
}

4. Whenever needed, run the following command at an elevated PS prompt and then relaunch Chrome:

Fix-Chrome