I understand what you are saying, but once you uncheck that item you can control individual types of items being imported into iTunes by controlling from the source
of the items rather than from iTunes. When you are downloading from the Indie sites and have the "Copy to iTunes" checked, even though it seems like you are just opening the song into iTunes it is actually being copied from somewhere else also, just like the books. In other words, your song is being downloaded to another folder on your computer and being copied from there into iTunes, even though this process seems seamless from your point of view, and you actually have 2 copies of each song on your computer also. So the thing is to find out where this folder is that the songs are being copied to and just dragging that into the iTunes folder. If there is a program that is downloading these songs, similar to the Amazon Downloader, you can just change it from there. I'm really not clear how that works since I have never done that, so you will have to check that on your end.
From the Help file in iTunes under Add music,video and more - ways to add items:
To export files from other applications directly to your iTunes library:
In the exporting application, set the destination folder as Computer\Music\iTunes\iTunes Music\”Automatically Add to iTunes.”
So just look at or set up the folder where you are storing your Indie music like that. Try one song and see how it goes.
Just try it by unchecking it, because it won't hurt anything. If it doesn't work for you, you can just recheck it again.