I guess the manual was not clear. The dialog belongs to the map compiler, not to WED. AFAIK there is no option yet to suppress this dialog. But I admit that it would make much sense in this case, and we'll implement that.
Until then, you can use the new sys_message function of the engine for writing a small script that automatically starts the build process and clicks the Ok button.
Is this planned to be done in near future?
It would help to do automatic builds a lot easier.
Regards,
Pegamode.