Its been a while since I've played with Windows NT on Alpha (my Alphas have usually run OpenVMS and Digital UNIX/Tru64) but IIRC in the AlphaBIOS Setup there is a screen somewhere where you can edit the boot menu - I guess the setting you're after might be somewhere in there. I seem to remember there being a place where you can edit environment variables too but I don't remember where (and I might actually be thinking of the unrelated SRM firmware).
Given Compaq abandoned Windows 2000 support before the final stable release I suppose its even possible they just never added a UI for controlling this option. If you can't find anything digging through all the AlphaBIOS setup screens I might be able to fire up an AlphaServer 800 or DS20 sometime to see if I can find something.