I still see this log when I start ES (v2.3.5) even though I have these settings in /etc/security/limits.conf, and have rebooted the machine. I also have bootstrap.mlockall: true in /etc/elasticsearch.yml.
[2016-10-04 18:51:22,933][WARN ][bootstrap ] These can be adjusted by modifying /etc/security/limits.conf, for example:
# allow user 'elasticsearch' mlockall
elasticsearch soft memlock unlimited
elasticsearch hard memlock unlimited