The only way you can ensure it stays in CMYK is to click in one of the C, M, Y, or K fields in the lower-right corner. Suddenly the Add RGB Swatch button changes to Add CMYK Swatch. That’s the only indication you’ll see that something is different. They haven't updated this in a a while, even CS4.
If you click OK, the color changes to an unnamed color, so it won’t appear in the Swatches palette. Fortunately, if you do click the Add button, the color is added to the Swatches palette. Alternately, you can choose Add Unnamed Colors from the Swatches palette flyout menu after closing the Color Picker.
The other problem I’ve had with the Color Picker is when I do choose an RGB color. For example, I might choose pure cyan (0r/255g/255b) if I’m doing a piece for on-screen viewing. Then if you open the Color Picker and just happen to click on the C, M, Y, or K fields and then click OK… the RGB color is converted to a much duller CMYK color without any warning or indication in the dialog box.
The trick to the Color Picker is to be aware of what field the cursor is in at all times. The field that has the blinking cursor controls the color space.