Sorry, I mis-understood the problem slightly.
The option you have shown is normally checked for placing parts into an assembly.
If it isn't, the part being placed will open in a new window and you select the first mating face from there.
You will then be put back into the assembly window to select the part/face being mated to.
This is how Solid Edge originally worked (up to about version 4 or 5 I think)
To improve workflow this was changed so that the part is placed directly into the assembly window and mating faces are selected from there.
The first part placed will be grounded at the XYZ origin.
To add another part grounded at the XYZ origin hold the CONTROL key while dragging the part into the assembly widow.
To add a part without placing any constraints hold the SHIFT key while dragging the part into the assembly widow.
Hope this helps.
bc.
Core i5-3570 @3.4GHz , 8GB RAM
Quadro FX4600. W7 Pro 64-bit.