Peter - Re-reading this, I'm thinking that your "expected" behavior is questionable. Import does not provide a way to specify "Duplicate handling" mode for "related contacts" separately from the "main contacts". So... I if select "No Duplicate Checking" - it seems reasonable to expect that this mode applies to ALL contact insert actions for that import session.
It seems like the behavior you're expecting would require two "flags"...
For Duplicate Contacts: Skip, Update, Fill, No Duplicate Checking -> set this to "No Duplicate Checking"
For Related Contacts: Skip, Update, Fill, No Duplicate Checking -> set this to "Update" (which would mean add a relationship)
... and I'm wondering how common a requirement this is ....??