That should work. It does for me in Windows XP.
Try this with a brand new test file.
Try this after deleting the FileMaker preferences file and reselcting this option.
If you still get the save dialog, you might make an issue report in Report and Issue.
Yeah, really weird - I tried deleting the preferences file and trying a test new file - still the same thing. I only managed to get the dialog box to go away on one person's computer, and I got it to work on a second for a while, but then it came back??! And that checkbox is still checked on all of em, including the server - so how do I Report and Issue - sounds like a OS X compatibility error to me.
Check the top of this screen. There's a tab labeled "Report an Issue" you can click and then you're in the section of this forum intended for reporting possible bugs.