Import On Load Vs Import On Build Preference?

I think you're referring to "Compress textures on import" feature, which you can find under Edit->Preferences.

We can import textures in two steps. First we read the image file (=fast). Then we convert it to a DDS texture (=slow). We used to always do both steps on import. However, people found that very annoying, especially when you want to update a photoshop 30 times. To make those users happy, we added an option that would delay part2 of the process to when you actually make a build.