Even if you have correctly set up Remote Wipe, Security Center may tell you that "Remote Wipe is not enabled." This is a known bug that was fixed in PrivatOS 1.0.3. Please upgrade and give it a try.
For historical reference:
You can tell that Remote Wipe is set up correctly if launching it from your home screen brings up the list of "Sensitive Applications" (screen shots at https://my.blackphone.ch/remote-wipe.html). On the other hand, if launching Remote Wipe from your home screen brings up the "Create A Device Password" screen is it not correctly set up.
This problem will occur if you successfully configure Remote Wipe, then apply an OTA (over-the-air) update to Blackphone (which you should be doing!). It may also occur under other circumstances, and it has to do with a configuration flag being overwritten.