I think this is a missunderstanding of the purpose of the conditional buildstep plugin.
This plugin allows you to execute aribtrary build steps if a given condition is met. As such the "fail the build" option has a small label called "On evaluation failure", this means: fail the build if the condition it self has a problem. This get more obvious if you use a condition like the "regular expression" condition, if the configured regex has a wrong syntax, then the build will fail. So this checkbox is more to help the user to identify configuration errors then anything else.
For your case, you don't need the conditional buildstep plugin at all. Just use "Shell" step and do a "ls myfile.txt" - if the file exists, this will return '0' and Jenkins will continue the build, if the file is missing then jenkins will mark the build as faild.
Same problem with following versions :
Jenkins : 1.587
conditional-buildstep : 1.3.3
Neither "Apply" nor "Save" keep the advanced part.