As far as I can tell this option is not working when selected in the site administration options. Although individual activities are displayed with the checkbox checked (and greyed out) no item is created in the gradebook and no grades are returned.
The workaround seems to be to delegate this decision to the teacher, then the option appears in each activity and it can be checked and grades do return OK.
I'm running Moodle 2.2.3 (build 20120615)
Is this a known issue? I searched JIRA and couldn't see any mention of it.
Similarly, you don't seem to be able to get open in New Window to work when it is set as the site-wide policy (but it can be overridden more easily in the activity).
