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You can customize that setting on each project using the "Mark complete when completing last item" checkbox on the Project inspector. The preference setting doesn't affect existing projects (since you might have customized those settings for different projects), it only applies to new projects.

You can change this setting on all your projects at once by clicking on the Projects sidebar to give it focus, pressing Command-A to select all your projects, then going to the Project Inspector and unchecking the checkbox.

Hope this helps!