I thought this was going to be a case of "I should have looked harder" but it's apparently not.
I do not have the option you all described (Running SW2004).
I do have an option for System Options\Display/Selection\Edge display in shaded with edges mode BUT I only have 2 choices - HLR and Wireframe.
The thing that worries me is that the setting I'm trying to change is saved with the part or assembly. I'm afraid that I'm going to have to live with this until eventually I save this setting for each and every part that I ever open.
Just a pain in the A$$, but it's not a really big deal.
I could write a macro that would take care of this, but heck, it's just one button click.