The setup menu doesn't know when you might choose to change to shooting JPEG or RAW plus JPEG and allows you to set basic functions that might or might not apply to other down the road settings you may change. IOW, the menus aren't smart enough to go through all your current settings and gray out those that don't apply based on everything else currently set. Yeah, there are some that take into account other settings like only having a jpeg option when shooting the fastest frame rates but many of the camera's settings don't review and take into account everything else currently enabled.
For instance in the ISO menu you can set a minimum shutter speed even if the camera is currently set to Manual shooting mode in which case that minimum shutter speed is completely ignored similar to the way High ISO Noise Reduction can be set but is completely ignored when shooting RAW.
Modern cameras are pretty amazing in terms of how you can customize the setup but that also adds a lot of potential confusion. For instance a lot of folks get tripped up when they switch to silent mode and discover their external flash units no longer fire. A careful reading of the manual can show why that's the case but there are so many interdependent settings that it's easy to get tripped up on which apply in which situations and which can inhibit or limit some other function. It's not simple to always get it right, but these aren't simple tools, they have a lot of built in complexity.