In 10+ years, I've never had to turn that button on. My current employer uses CATIA and I-DEAS and I don't turn on that button, hence why I feel it's something on CATIA's STEP export settings. Making a round trip from the same software isn't necessarily eliminating the root cause, especially if you're not checking the settings for both import and/or export in CATIA. I could very well be wrong, but if it were me, I'd take a look - might make the importing a bit quicker and definitely easier for the next person that does this (if you're not around).
Tim Flater
NX Designer
NX 9.0.3.4 Win7 Pro x64 SP1
Intel Xeon 2.53 GHz 6GB RAM
NVIDIA Quadro 4000 2GB