This functionality is now supported for all customers using GitHub.

Announcement here: https://circleci.com/changelog/trigger-pipelines-on-github-pull-request-events.

When using the GitHub App integration, this option is not available as a setting. Instead, it is now configurable at the trigger level.

Go to Project Settings > Triggers > edit your trigger, and in the new "Run on" field select the option you prefer.

The option "PR opened or pushed to, default branch pushes, tag pushes" is the equivalent of "only build pull request".

The advantage here is that you can configure different pipelines in your projects to run on different triggers.

For any questions, feedback or help setting this up, feel free to respond on here or email me directly at benedetta@circleci.com.