Not all files can store metadata in them. If dealing with RAW files you can't avoid XMP sidecar files. DNG files however can store the metadata inside the DNG file without the need for sidecar files, but if those sidecar files were already made, I don't think that preference if going to remove existing ones. It would only apply to future edits.
Keep in mind that Adobe Bridge does not show sidecar XMP files when viewing files.
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