There is an app called screen on in the market. Looks like it would do the trick. I also have tried to find a setting to do this. I dont think there is one. Note - I just found this app, and have not tried it yet.
edit : a little buggy - locked up my GS3 when I first installed it, but it does what it is supposed to. I can now dock my phone, and keep the screen on while it charges.