Why Changing Permissions For Some Systems Files is Not Allowed?

On more recent phones, internal storage is mounted on a FUSE mount point. Here's the corresponding line from mount executed on my Nexus 6P:

/dev/fuse on /storage/emulated type fuse (rw,nosuid,nodev,noexec,noatime,user_id=1023,group_id=1023,default_permissions,allow_other)

FUSE only acts as an interface that translates the underneath actual filesystem. In Android's case, it's usually VFAT, exFAT or something similar, to guarantee readability under a variety of host OS. FAT and NTFS filesystems don't support granular file permissions under Linux-based OS - everything is pre-determined by how the drive was mounted, resulting in the default permission you see. This leads to Root Explorer throwing the error in the screenshot.

Note: I'm not exactly good at Linux, and have also learned quite a bit myself as I searched for materials that could answer this question, so feel free to edit and improve this answer with more professional ideas.