The PICKit2 software doesn't include configuration fuse settings, because it's loaded by a bootloader - it's the bootloader software which includes the configuration settings.
If you want to know the fuse settings used, check the bootloader software.
ALL programmers should load the config fuse settings from the HEX file, if yours doesn't, I suggest you throw it away and get a decent programmer. However, I imagine it's because you're trying to load the PICKit2 software, rather than the bootloader software.