Bob, I'm pretty sure the popup box you're getting is strictly a PS7 post-production feature (I set mine to do the same thing) and has nothing to do with any difference in how your camera processes RAW or JPEG images.
I believe when you set your camera to aRBG, it shoots everything in aRGB.
I've just set PS7 to ask me about color space and haven't yet run both RAW and JPEG through it, and if I'm reading you correctly, I suspect from what you say that it automatically asks you to choose color space on RAW images and maybe you have to pull down a menu to change it for JPEGs?
Just guess here, because most people who shoot only in JPEG don't usually get into color space settings and most cameras come with a sRGB default. Maybe it assumes that if you bring a JPEG in, you not only don't want to mess with RGB settings, a pop-up menu would be confusing.