I am not sure of this option in NX 8. It may be introduced in some later release of NX.
EDIT: 'PMI Rapid Dimension' is available from NX 9 and it has 'Origin Group Options' with orientation option to select the user defined annotation plane. Prior to NX 9, it was 'Inferred dimension'.
Testing: NX 11 | NX 12 | TCIN
TC 11.2 | TC Vis 11.3 | AWC 3.2