Well I finally figured it out, again and thought there must be others in the same position !
The trick is you MUST to go through the Page Setup Manager dialog box then into a particuar page setup. If you go straight into the plot dialog box the option is not available. Yet another reason to always use the page seup manager.
The check box in question is in the upper right side and it's called "Display Plot Styles" ?? Ok. I suspect most people either don't know what the option does or they don't even see it. Either way I prefer to set this option 'On'. See the images above and below.