Never mind. I found it. For anyone else who is looking, you need to edit includes/templates/YOUR THEME/templates/tpl_modules_no_account.php

The code says:

<fieldset>
<legend><?php echo ENTRY_EMAIL_PREFERENCE; ?></legend>

<?php echo zen_draw_radio_field('email_format', 'HTML', ($email_format == 'HTML' ? true : false),'id="email-format-html"') . '<label class="radioButtonLabel" for="email-format-html">' . ENTRY_EMAIL_HTML_DISPLAY . '</label>' . zen_draw_radio_field('email_format', 'TEXT', ($email_format == 'TEXT' ? true : false), 'id="email-format-text"') . '<label class="radioButtonLabel" for="email-format-text">' . ENTRY_EMAIL_TEXT_DISPLAY . '</label>'; ?>
<br class="clearBoth" />
</fieldset>

It should say:

<fieldset>
<legend><?php echo ENTRY_EMAIL_PREFERENCE; ?></legend>
<?php
if (ACCOUNT_NEWSLETTER_STATUS != 0) {
?>
<?php echo zen_draw_checkbox_field('newsletter', '1', $newsletter, 'id="newsletter-checkbox"') . '<label class="checkboxLabel" for="newsletter-checkbox">' . ENTRY_NEWSLETTER . '</label>' . (zen_not_null(ENTRY_NEWSLETTER_TEXT) ? '<span class="alert">' . ENTRY_NEWSLETTER_TEXT . '</span>': ''); ?>
<br class="clearBoth" />
<?php } ?>

<?php echo zen_draw_radio_field('email_format', 'HTML', ($email_format == 'HTML' ? true : false),'id="email-format-html"') . '<label class="radioButtonLabel" for="email-format-html">' . ENTRY_EMAIL_HTML_DISPLAY . '</label>' . zen_draw_radio_field('email_format', 'TEXT', ($email_format == 'TEXT' ? true : false), 'id="email-format-text"') . '<label class="radioButtonLabel" for="email-format-text">' . ENTRY_EMAIL_TEXT_DISPLAY . '</label>'; ?>
<br class="clearBoth" />
</fieldset>