Uh, no, that's not true. Auto, scenes, special effects, sports/macro/etc. modes will all pop the flash when the camera decides it needs it.
The word All is not correct. The D5200 Reference manual (pages 24-28) says these specific scene modes below turn the built-in flash off:
Landscape
Sports
Night Landscape
Beach/Snow
Sunset
Dusk/Dawn
Pet Portrait
Candlelight
Blossom
Autumn
This leaves others that might use the flash.