MySQL Dump Restoration when FOREIGN_KEY_CHECKS=0
That is a default option in mysqldump. As the name states it only disables the foreign key check, which is necessary. If you don't disable the check, you'll almost certainly run into foreign keys errors, unless the restore, coincidentally, honors the parent/child relationships in the sequence that it restored the tables in. Extremely unlikely. Mysqldump doesn't account for this.

Look at it this way. If your dump restore tries to restore a child table before its parent, it will see the rows as orphan records and the check will give an error. 

As ypercube said. The dump file will contain a set command at the end to turn the check back on. It's also a session based variable.

To address your concern. No. The set command does not remove foreign keys from your tables.