Mitch is right (no surprise). I tested with a SKP file that I happened to have in the active import folder. Sorry for the confusion.
Regardless: @margaret, it looks like there might be some crossed wires in the help system. When I tested the skp import, I drag’n’dropped a file into Rhino and got a dialog box. I pressed the help button in that dialog and came to the entry that I quoted from above. Now, trying skp import again and this time checking the “Always use these settings” checkbox, I get a dialog box saying:
The SKP Import options dialog has been turned off. To edit SKP Import options use the Options button on the Open dialog (which, of course, makes more sense).
So, NOT the SAVE dialog box.
Also, this appears to be a bit tricky. That options button only appears in the Open dialog if you have turned off the options for that particular file format. The default filter is “All compatible file types (.)” and this won’t give you the options button even if you pick a file format that has the options turned off. You have to specifically set the filter to that file format.
[I guess I’ll just continue _not_ checking that box 
]