I realize this is an old post - but Google led me to it today, when I discovered the same thing.
And, I think it's potentially a WinBox (or webfig) bug.
I always try and use config files, to simplify common items, and give myself "one place to adjust", right? That's what they are for.
I grew up on an Amiga, and not DOS or 'nix, and so you'll forgive me that I like the laid out nature of WinBox, where I can "see it all at a glance".
I would suggest, that when setting up wifi, the configuration file where I should be able to select WPA2/PSK, and put in the passphrase, is only passing the passphrase to the wifi interface it is attached to.
While I agree, that perhaps the wifi interface, via WinBox is saving a "no security" setting rather than NULL, that also would be a bug. I did try an "empty system" just now, enabling the wifi ONLY using the config file (config file attach, hit blue check) but that was no better. Just as ed28 said above... you get a passphrase attached, but you get a wifi interface with no security at all. 
Or if you don't WANT people to be able to set the security type in the config file... grey it out. Right?
I call bug... 
OR - maybe the webfig/WinBox, needs another checkbox, for "No Secuity", rather than assuming that no checkboxes, means no security? I even tried rolling up the selection pane to see if that would help - no joy.