I'm sure there is a setting for this...

When I use import from Web (typically I use the keyboard shortcut CTRL ALT W) it brings in the image, but many times it resizes it to a max of 500px.

Example, I just imported an image which is 900x120 but when it imported, it was 500x67

What setting affect this. I would prefer the image to be imported as the size it physically is on the site. If you use the same URL the image on the page is 900x120.