Selecting that that’s OK or cancelling that selection leaves the box unchecked; basically, there’s no way to select that box the way the phone ships.
I’ll point out before you go any further, although this will select the “allow GSM data,” I have no way to tell if it actually does anything other than checking that box, and it might cost you.
Your first step is to go to Settings > Mobile data > Network mode > GSM/UMTS only. This will enable the “Allow GSM data” to be both selected and allow the OK to stick. After the OK has stuck, you can go back to the network mode option, and select automatic again and you’ll be set.
You may notice a popup that asks if you want to switch to “World Mode” – I can’t tell if that does anything one way or another … in either case, the phone never connects to a GSM tower for me, but that may just me.
I have no idea why they did it this way, or if the GSM bands that the CDMA phone supports will actually connect given a proper SIM or PRL, but it’s something to play with.
If anyone actually connects to a GSM network who is on a CDMA carrier, drop us a line. I’d be interested if this does anything more than allow you check a box that does nothing.
I’ll admit to still being a little unclear on what the GSM radios in a CDMA HTC One M8 are actually capable of speedwise and carrier-traversing, but it would be nice to find out.