If I recall correctly, you don't select the TC level from the settings menu (which you are in, when you hold down SEL).
Turn on the bike, and put it in neutral. Press and hold the up or down arrows (left handlebar) and release after one second to select TC levels 1-5.
Turn on the bike, and put it in neutral. Press and hold the up or down arrows (left handlebar) and release after one second to select TC levels 1-5.