File Association and Import configuration are two different things. You can still import .cue files even if they're not associated with MC - it just means that when you double click a .cue file in Windows, it won't launch MC to play it.
To prevent importing .cue files you need to open the AutoImport settings, expand the "Audio" node (for each import folder), and de-select the .cue extension and any others you don't wish to import.