No. It's Not a bug. It's an option.
Is there a manner to activate that option?
It's mentioned in the message itself. It uses Multi-threaded-Dynamic-CRT by default.
Yes, it is mentionned in the dialog box message but there is no message if you create a VS2005 Win32 project
Anyway, when you create an MS Dos project and answer the question about Multi-threaded Dynamic CRT mode, you can see that check box is correctly checked in build option (one of these options /MT, /MTd, /MD, /MDd).
In Win32 project, as there is no question about Multi-threaded Dynamic CRT mode, none check box is checked in build option (in release and debug mode)
I don't think it is normal.