It is on that window, for any keypress input (E.G. to trigger a command, or for global hotkeys).
The option will stop physical keypress from getting through to any application but VoiceAttack itself, which can be useful if you want to utilize a physical key that is bound to an ingame action to trigger a VoiceAttack command, without also setting off the ingame action.
Are you looking for this option on a keypress action instead? It does not exist in that context because VoiceAttack is sending a keypress, not receiving it, so it does not apply to that situation.