Mine has the "Auto-Check" setting right above the "Show" setting.
What sort of accounts do you have set up? That may have something to do with it. Mine's just POP.
My problem is my web/mail host only allows one connection at a time, and it seems when the phone checks my mail, it hangs onto the connection for quite a bit longer than my Treo did. So sitting at my desk, my main email client horks up when checking (it's on a 5-min check cycle).
On top of that, I set my phone auto-check to 'manual', yet it's still checking on its own.
On a related note - has anyone figured out how do a 'delete all' in a given inbox? Deleting every individual email = meh.