I've heard if you disable the service directly, then the "Windows Defender reports that the service is turned off" message stops happening.

  sc.exe config "WinDefend" start= disabled
  sc.exe stop "WinDefend"

No good I'm afraid, gave me:

    [SC] OpenService FAILED 5:

    Access is denied.

(this is from an administrator command prompt)

For the record: you can turn it off using the group policy editor.

I thought it didn't just nag but turned itself back on after a while?

As far as I know, only if you fall for the dark pattern nag. I haven't run in to this, either because I haven't had it disabled for long enough or because Microsoft buckled and removed it.