Ashok,

I believe you were given an incorrect answer. From the SB-800 manual:

Digital data communication with the SB-800:
When the SB-800 is used with cameras compatible with CLS, digital
SLRs not compatible with CLS and cameras in Groups I to II, digital
data communication is performed. The camera automatically sends the
ISO sensitivity to the SB-800. With a CPU lens, the aperture and
focal length are automatically set on the SB-800.

Notes on setting the Speedlight's ISO sensitivity:

In the TTL auto flash mode and Manual flash mode (except Distance-
priority manual pflash), there is no direct connection between
setting the ISO sensitivity on the Speedlight and controlling the
flash output level. Setting the ISO sensitivity is for correctly
displaying the flash shooting distance range or the shooting distance
indication on the Speedlight's LCD panel.

In the Non-TTL auto flash mode (Auto Aperture flash B/Non-TTL auto
flash A) and Distance-priority manual pflash operation, the correct
exposure can be obtained by setting the camera's ISO sensitivity on
the Speedlight, because the Speedlight controls the flash output. For
cameras compatible with CLS,digital SLRs not compatible with CLS, and
cameras in Groups I and II, the ISO sensitivity is automatically
transferred from the camera to the Speedlight.

And thre is this from the SB-900 manual:

Setting the ISO sensitivity:
The ISO sensitivity is automatically set based on the information
transmitted from the camera to the Speedlight.

Setting the ISO sensitivity manually:
You can set the ISO sensitivity manually using the custom setting.
(kC-24) The available ISO sensitivity range is ISO 3 to 8000. Note
that the ISO sensitivity set on the camera is given priority.

As I read this, the only time it is necessary to set in ISO is when
using the Non-TTL auto flash modes. I never enter ISO into my remote
SB-800 when using CLS. I have never had any difficulty.

Mel Hughes
Sparta, TN