I would like to select the "fetch items from children" to no on the menu item but it is not selectable. How can I change this?

Not sure exactly where your at , but usually there is something above that if selected correctly will allow that button to be used...
a screenshot would help

The selection box is "Locked" in Yes include fetched items.

I created a duplicate menu item and selected no when created but it changed to yes after saving. Oddly enough a new and different menu item allows the selection of no.

Is there a setting I messed up?

Here is a screenshot of the menu item

Did you get a look at the screen shot?