Since I am abandoning Capture NX2 as my editor of choice, there is no need for me to synchronise the Urgency field with the ColorClass any longer. I have therefore unchecked box "Synchronise Color Class with IPTC/XMP Urgency field".
This works well and I can now set urgency independent from the color class, or leave it off altogether. However, I did notice that if I change the color class of a new file (one without existing Urgency), PM still creates the IPTC Urgency field with a value (0). Note: it does not create the corresponding XMP field (which it does correctly when you do specify an Urgency)
I think the creation of the IPTC field is a small oversight in the code somewhere and even though it is relatively harmless (0 is basically no urgency), perhaps it is better not to generate the field at all?