A unique constraint is implemented internally as an index.
Pretty much the only difference between explicit CREATE INDEX and adding a constraint via ALTER TABLE is the ability to have INCLUDE columns as an explicit index.
SSMS is somewhat confusing in how it presents this. No idea why
Personally, I think IGNORE_DUP_KEY is pointless and have never used it.
Specifies the error response to duplicate key values in a multiple-row insert operation on a unique clustered or unique nonclustered index. The default is OFF.
ON A warning message is issued and only the rows violating the unique index fail.
OFF An error message is issued and the entire INSERT transaction is rolled back.
The IGNORE_DUP_KEY setting applies only to insert operations that occur after the index is created or rebuilt. The setting has no affect during the index operation.
Edit:
Found this from me before: http://stackoverflow.com/questions/2594193/can-i-set-ignore-dup-key-on-for-a-primary-key
Generally, IGNORE_DUP_KEY has several answers too