Hum… not in a windows machine here so I cannot tell much for NVidia standalone tool, but you have to be very picky with dds settings. From what I remember:
- Compression DX5 is kind of a standard so try with this first from the list (please see this table for details)
- You don’t need alpha for this, so unticking storing alpha would make the file smaller
- You also don’t need mipmaps (unless with this library), so untick it also (top corner of the settings panel on the left hand side of your snapshot)
- Look for a box that ensure cubeMap packing and tick it (double check)
For other issues I recomend asking to the library author
Update: Just briefly, I (still) use Developer’s Image Library (DevIL) on ubuntu for this kind of things, I was unsure if it would export cubeMap .dds, just tried and it turns out it does 
