This rediculous problem has existed since Annotative Scaling was introduced and nothing has been done to remedy it. If you import the Style via the DesignCenter the Annotative Scaling setting is imported but not via the Tool Palettes becasue the Tool Palette Tools store dimstyle settings directly in the .xml file where this property doesn't exist. If you are trying to create office standards for dimension styles via the Tool Palettes, you'll soon find that it's a horrible choice - office standards should come from .dwg or .dws files not some disconnected .xml file.
If you just have to make it work, you can insert the dimstyle as a block first or execute a lisp routine that builds the style in the current file.
Odin