In Customer defaults settings, you will find the option for it as shown.
From Documentation link 'Simplifying Assemblies with Wrap Assembly Envelopes'
"You can let envelopes automatically create and add themselves to standard reference sets by specifying a name for the Simplified Reference Set Name customer default, such as ASSY_ENVELOPE."
Testing: NX 10 | NX 11 | TCIN
TC 11.2 | TC Vis 11.3 | AWC 3.2