I did some research and I don’t think there are options to remove these “advanced screen options”. You can however remove the entire screen options tab . If you really want to remove just that option you should be able to do it with css or jquery to hide/remove the options.

jQuery solution

place the following in your functions.php

function abc_load_scripts_on_admin() {

    $screen = get_current_screen();

    if( $screen->ID == 'nav-menus' ) {

        wp_enqueue_script( 'abc_remove_xfn', get_stylesheet_directory_uri(). '/remove_xfn.js' );
    }
}
add_action( 'admin_enqueue_scripts', 'abc_load_scripts_on_admin' );

create a file in your theme with the name remove_xfn.js.

Add the following jQuery to newly created file

jQuery( document ).ready( function() {

   jQuery( '#xfn-hide' ).parent().remove();
   jQuery( '.field-xfn' ).remove();
});

this removes both the xfn option in the screen settings and the actual setting for each menu item if its somehow turned on.

I also found the plugin Adminize wich might do what you want but I haven’t tried it yet.