I haven't tested on Windows, but in Linux if you select the syntax from the bottom right of the window, selection of the syntax only works with the languages highlighted in green, and do not work by clicking in the languages highlighted in red. You can use the cursor keys and enter to make the selection, but not with the mouse. What the non-selectable items have in common is they are in child menus (might not be the right terminology).
I can supply a video if you need a better description.
OS: Ubuntu 12.04 x64, Registered version of Sublime Text 2.*