This still appears to be an issue in Photoshop as of October 2020, and I wasn't able to find a more recent answer to this question. However, I did some testing on a workaround: 1) Set up a file, selecting CMYK at the start. Artboard option is not available at this stage. 2) Once the file is open, I turned it into an artboard (Layer > New > Artboard). 3) I double checked Image > Mode and it still appears to be in CMYK. Not as convenient as it could be, but hopefully this helps someone else!