Not allowed to set the device owner because there are already several users on the device

There is a way out of this problem without Factory-resetting the device. Just remove all the accounts from your device (In Settings->Accounts). You may want to sync the data before doing this so that later, you can restore them. After removing all the accounts, connect your phone to the computer and run the command:

adb shell dpm set-device-owner sdg.example.kiosk_mode/.AdminReceiver

If you get a message like this:

Success: Device owner set to package ComponentInfo{org.bluetooth.bledemo/org.bluetooth.bledemo.AdminReceiver}
Active admin set to component {org.bluetooth.bledemo/org.bluetooth.bledemo.AdminReceiver}

consider yourself successful. Now you can add back all the accounts that you removed earlier.

Another way : As pointed out by Steve Miskovetz in the answer, factory reset is one of the ways to set the app as device owner if previously, your phone had accounts (e.g. Gmail accounts). But in recent versions of Android and/or some phones,after doing a factory reset, they do not allow to move forward unless you have set a google account. So, in order to solve this, go ahead and register your google account and when your phone is back to normal operable state, delete that account by going in Settings -> Accounts. Now all you need is to enable developer mode and then USB debugging. After that connect your phone to the computer and run the command adb shell dpm set-device-owner sdg.example.kiosk_mode/.AdminReceiver.

This post gives a really good overview on the dpm command: http://florent-dupont.blogspot.fr/2015/01/android-shell-command-dpm-device-policy.html

Near the end of the post, this update was added: "Device owner can only be set on an unprovisioned device, unless it was initiated by “adb”, in which case we allow it if no account is associated with the device” says the source code. So, make sure you don’t have any account (like Gmail) associated to your current user set before using the dpm command"

I recommend installing and setting your app as a device owner using dpm after performing a factory reset, going through Google Wizard without setting up any accounts, enable developer mode from settings, and finally enable "USB debugging"... If that's a viable option for you...