After upgrading to version 2017.07, every time I save a project (File -> Save As), the "Copy all audio with project" option is always checked.
However in my Preferences-> File-> Audio Data, the option "Always Copy Imported Audio Files" is unchecked.
Does anyone know how to solve this?

Those are actually mutually exclusive settings. The preferences check box only applies to the import dialog. When you do a new Save As this is always the default so that the project will load properly from that new Save As location. You are able to turn that setting off when the dialog is displayed as you've seen.
 
If you are working from a project that is in a folder with it's audio data stored in the audio folder, a new save as will detect that the projects audio is already stored in this location and will not create an additional sub folder.
 
 

In my workflow, I've never used to copy all audio with project.
But it seems that now I will always have to disable it every time I use a Save As.
This is an unnecessary manual work and I remember that this was not so in previous versions.

Try the Save Copy command instead.
 

Both "Save As" and "Save Copy As" have the same problem.
This is really annoying.
I leave here this suggestion for improvement so that Sonar "memorize" the last choice for "Copy all audio with project" or create a parameter for this.

This is just proof that you can't make everybody happy. I my self was pleased that it is now always checked. I can't think of why anyone would not want the audio saved with the project anyway, explain please so I'll see why. 

Cactus Music
This is just proof that you can't make everybody happy. I my self was pleased that it is now always checked. I can't think of why anyone would not want the audio saved with the project anyway, explain please so I'll see why. 

Saving audio with the project makes backing up sooo much easier.

Anderton

Cactus Music
This is just proof that you can't make everybody happy. I my self was pleased that it is now always checked. I can't think of why anyone would not want the audio saved with the project anyway, explain please so I'll see why. 

Saving audio with the project makes backing up sooo much easier.

It also makes it a lot easier to find. 

For example, I have giant SFX libraries in particular folders.
I do not need Sonar to duplicate these files every time I save a project.
These files can be in the original folders.
This avoids high space consumption on the HDD.

That makes sense, although I ultimately back up projects in their entirety to optical. Then I can remove projects from hard drives (which I trust much less than optical) to regain space.