When you put in 4 times the wrong pin you have to reconnect to the app using your Microsoft Account & password. Then the app will ask you if you want to use a pin or not. If you still want to use one just type in a new one (twice) and confirm.
I'm sure there was an option to deactivate the auto unlock on correct
There is no such option at present. Even with a registry hack I don't think it is possible.
I don't think MS will change this as it is supposed to be an easy way for login in desktop as an alternative to password (due to the convergence the same code is used for mobile).
The option is not there in Windows 10 Mobile.
However, Windows Mobile is already secured against random guessing/generation of passkey numbers.
After 5 tries, it locks down the phone for a minute. And another set of attempts id made again after that minute, it locks down the phone for even more time, making it harder by the second for a program or entity ...