I use Sophos Antivirus on my Mac (running Lion 10.7.5) and I am not able to change Update Settings as it is greyed out. I clicked on the Lock icon on the bottom portion, entered my password (administrator account) and still I find it greyed out. Here is the image for reference.
What should I do that will allow me to change these settings?
It looks like you have to change a configuration file, specifically iconn.cfg. Inside this file try changing the line AllowLocalConfig = 0 to AllowLocalConfig = 1 (under [PPI.WebConfig_Primary] section).
On macOS, it's located in:
/Library/Sophos Anti-VirusOn Windows it's in (depending on the operating system):
\Program files\Sophos\AutoUpdate\Config\ProgramData\Sophos\AutoUpdate\ConfigSource: Edit local config - Endpoint 9.5/9.7.
