This is the default behavior. If you turn on GPU but don't select any subprojects, we select PPS Sieve for you. Likewise if you turn on CPU but don't select anything we choose SGS and PPSE for you.
The first thing you need to do is to at least turn off the "Use ATI GPU" near the top of the preferences screen. Then you can unselect the PPS Sieve for ATI and it'll stay off. If you don't intend to do any GPU work right now, you should also uncheck "Use NVIDIA GPU". Or, if you plan on running some other GPU subproject, turn it on in the preferences and unselect PPS Sieve. It will then stay deselected.
I always turn off the GPU box near the top if I don't want to crunch with my GPU at that moment, so I had never run into this myself.