Yeah, you need to close all apps. Something is requesting high performance graphics (ie the AMD GPU) so it's locked the Integrated Only option out.
Integrated Only forces the Iris Pro graphics on the CPU to be used. It stops the AMD GPU powering up when an application requests high performance graphics - which is tripping the fans in. For low impact things like web browsing, watching movies etc the integrated is more than good enough. Just remember to flip it to dynamic switching when you plug an external display in, or try and run a game or app that really needs the AMD GPU.