The settings you can control in the "Add delimited text layer" dialog is how the .csv file is being interpreted by QGIS when reading it. If your original file has a comma as decimal point (which it apparently has) this can be specified here.
After that however QGIS doesn't care about the file format any more and represents all decimal numbers in the same way (display format), wherever they may come from.
To control the display of decimal points, go to Settings -> Options -> General and check "Override System Locale" and switch the Locale to your preferred one. E.g. Italian or German (Germany) has comma as thousands separator.