To be honest, we don’t know for sure, but we do know it’s not just a missing feature as it’s been that way since the app first came out for over a year.
They appear to have changed their design philosophy for smart home monitor. 
Now they only let you change the security.mode by Opening the app and doing it intentionally. You can set up an automation to give you a notification to remind you to do it, but you can no longer create a rule to change the state itself automatically.
In the classic ( V2) app, you could change the smart home monitor armed state using any trigger event at all that smartthings could recognize.
That’s actually fairly uncommon, and quite a few security companies, including ADT, prefer the more manual method to make sure people don’t accidentally set it one way or the other without realizing it. And it looks like Samsung has now adopted that philosophy.
So, yes, you can do this with the Classic V2 app, but remember that they have also told us that that app is going to go away eventually, they just haven’t said exactly when.
If you are using the newest app, the V3, there’s just no way to do it.
October 2019 update
There was a new update and you can now automate unlocking a lock. But not change SHM mode.