In the screen capture, the option "Edit a Copy" is selected. This creates an exact copy of the original file in the same format.
LR renders an exact copy. That's why the the "Copy file options" below are grayed out, because they do not operate with this option selected.
If the source file is a PSD it creates a PSD (which, not knowing your source file format, seems to be the case).
Choosing "Edit a copy with LR adjustments" and the "copy file options" will operate, showing the options you have chosen in your preferences.