This is an old bug that I reported on years ago to deaf ears. Tool Palettes came out before Annotative Scaling was introduced and the option for storing the Annotative Scale setting just hasn't been incorporated. It doesn't work for Text Styles either. It does work with Mleader Styles.
The whole logic behind storing Text and Dimension Styles as part of a Tool on a Tool Palette is pretty limited. Once you drag a dimension style over to a Tool Palette, the style settings are coded with the Tool and there is no connection to the original style or the drawing. Anyone who has developed standards for any firm knows that it is far better to manage styles through a source file. It would have been really nice if Autodesk would have offered an option to pull a style from a source file.
To remedy the problem being described in this thread, you need to find a way to import the Dimension Style from the source drawing. The easiest way is to make a Tool that inserts the source file. I found that the Annotative Scale setting comes through as a Block. You can make a Tool that simply inserts a drawing file that only contains the Dimension Style you want.
In my own work I took it a little farther and wrote a lisp routine that inserts the Block, sets the DimStyle, Text Style and Mleader Style current and then Purges the Block. This way anyone in the office with basic skills can update or improve on the basic settings without having to know any code.
