IF you set up a table with one record for each user, the check box field could come from that user's record in that table. Your script can check that field's value to determine whether or not to show the custom dialog.
If you replace the custom dialog with a new window or a popover, you can even put a check box "do not show this message again" inside that popover or window.
I think your question contains part of the answer. Make a small modal window that asks the question with a check box.
I don't know how the 'certain feature' is popped up with a custom dialog (I assume some sort of script trigger), but have the first line of that script check to see if the field is checked. If it's checked, end script, if unchecked, proceed with feature info.
It would have to be a field that's not global, unless you want this to pop up every time the user firsts enters the layout-which may or may not be the desired result.
I saw in these great training videos by John Mark Osborne (for V12), where in his solution he made a preferences table, where the user can select their own preferences, like how dates & phone numbers are formatted, etc. So maybe it could go there.
Great suggestion. I'll try that. Thanks!
Good information. Thanks for the comments.