In PS4, Unchecking "Enable HDCP" doesn't completely disable HDCP. -

"Enable HDCP" in PS4 is a super misleading setting item. If you want to capture any screen in PS4, you have to use a display and a splitter which can make HDCP disable, same as you did before.
　

configuration 1

iMac - (Thunderbolt) - Intensity - (HDMI) - PS4

Intensity ... Thunderbolt to HDMI converter
PS4's "Enable HDCP" is unchecked.
　

configuration 2

iMac - (Thunderbolt) - Intensity -(HDMI) - HDMI splitter - (HDMI) - PS4
Display-----------(HDMI)-----------------------------|

HDMI splitter ... http://presentgadget-lab.com/?p=495
Without connecting display, it also won't work.
　

This infers PS4 still keep HDCP enable, when we uncheck "Enable HDCP". I asked Sony's technical support, he's replied "Unchecking "Enable HDCP" doesn't mean completely disabling HDCP for all screens." The below sentences is reply from a Sony's customer support.

PS4の「HDCPを有効にする」機能についてはお客様がお手元でお試しいただいた結果のとおり、すべての画面において、完全にHDCPの機能が無効になる仕様ではないことを確認いたしました。

So, I asked them, "when should we disable HDCP? Please tell me the actual example." But they told they cannot tell any example and also they cannot say anything more than the user guide. Thanks a lot Sony, I really appreciated your fantastic answer.

恐れ入りますが、HDCP機能を解除いただく状況の例として、当社よりご案内している情報はございません。誠に恐縮ですが、お問合せいただいている設定項目について、当社よりご案内しております内容はユーザーズガイドに書かれている内容のみにとどまります。
http://manuals.playstation.net/document/jp/ps4/settings/hdcp.html
また、当社のプレイステーションオフィシャルサイト以外に掲載されたインターネット上の情報についてもご案内できる情報がございません。ご期待にそえず申し訳ございませんが、なにとぞご了承くださいますようお願いいたします。

But reading the description in the user guide about Enable HDCP, most of people might think unchecking "Enable HDCP" make all of HDCP features in PS4 is disabled, don't they? I mean this description is wrong...

If you remove the checkmark from [System] > [Enable HDCP], the HDCP (High-bandwidth Digital Content Protection) feature will be disabled.
Enable HDCP | PlayStation®4 User's Guide