13
I think you have to asign users to a certain group, they can't just pick if they want to be an Anonymous, Registered or Webmaster.
Are you sure that you're using a regular registered user's account to test this and not yours (webmaster's)? Because as I can see, those options only appear when you, as a webmaster is editing your own or other user's account, not when a registered user edits his or her own.