I've done some more digging and found that with the initial install of Sublime 2.0.1, the Preference menu option works perfectly fine however if I install Package Control or manually load the TextMate Sass/Scss bundle ( github.com/kuroir/SCSS.tmbundle ... blimeText2), after a restart of Sublime, Preferences is disabled.
After testing a number of scenarios, I've found that its probably not the packages. If I do a clean install of sublime ( 2.0.1 build 2217 or 2218 ), the Preference option works perfectly fine, but once I restart, its disabled. To fully vet the problem, I just tried the same scenario on my MacBook also running OSX 10.8 and had no problems, so it's got to be a config issue on my iMac.
Any suggestion what to check?