To change dimensional input mode from point to dialog

If F4 doesn't work to change the input mode to "dialog", this is another way you can accomplish the same thing.
At the top of the HFSS window, click "Tools" -> "Options" -> "General Options"
In the popup window that appears, expand "3D Modeler" on the left (if it isn't already expanded) and click "Drawing".
In the options for "Drawing", change the "Drawing Data Entry Mode" from "Point" to "Dialog"

DialogWindow.png

Click "OK"

Now, when you create a new object, it should give you the dialog box you expect.