You may need to add a solution to your project to create a Web Essentials solution settings file. If your project (Web Site) doesn't have a solution, I'm guessing there's no solution to apply settings to.
What I do is create a New Empty Project, then add a New Web Site... or Existing Web Site.. to the solution.
It seems in my experiences that when I use 'File > Open Website', it creates a temporary solution, but Web Essentials doesn't seem to use this for its solutions settings.