First you need to check that box in security as you saw.
Then at the lock screen sweep from left (all the way left) to right. You'll get to a blank screen with a plus sign on it. Click the plus sign and you can add a widget.Now if you want that to be the default widget instead of one you have to sweep to get to, then you have to sweep back to the main lock screen, click and hold it and drag it to the "remove" item at the top.
The setup/install is screwed, you do have to go through setup at least partially twice due to that update.
The PDF renderer is bizarre and on top of that it interacts with the terrible download UI in bad ways. Frequently my phone will finish the pdf download in the notifications, then show nothing at all, then like 30 seconds later it'll bring a PDF reader to the front (my Nexus 4 did it too). And if you want to view the PDF again later, you have to click the link again, watch it download (not sure it's downloading or just verifying an existing download) before it can be viewed again.
I love how the notifications work compared to the iPhone though. And the keyboard is about 10x better than the iPhone one, using the iPhone one now is like torture to me.
It kills me that there is virtually no help for anything. Try asking the phone questions like "what are those icons up at the top of the screen" (the notifications). You can do so either with the excellent voice search or by typing it, either way it won't give you any answer, it just searches the web. And even if a result comes back from the web, the result isn't keyed to the OS you are running. Back when I was running ICS on my Nexus 4 I would search and get "help" answers that only applied to Gingerbread.
Speaking of notifications, I watched two ladies use their Samsung Galaxies last week, both had notifications lined up all across the top of their screen. They didn't know what a notification was, how to view/answer it or how to make them go away. Really sad.
I do like the Nexus 5 though, better than the Nexus 4 I had before it. And it's a heck of a value. But it still has a ways to go to catch up to the iPhone in usability in many ways.
Now, if I could just get Apple to see what the Nexus 5 does right and copy that. The price. The screen. The keyboard. The ability to use bluetooth (non-4.0) devices without an Apple auth chip installed. The ability to use other mail clients as if they were built-in.