I think the 'Selection' button you are looking for is not a Selection button but is a prompt that only comes up on the initial access of Work Ticket Label Printing (per your screen shot)  "The first time the label printing program is accessed, the user will have the option to select the template format to default to for the Standard form code. The options are 1 label across or 2 labels across."

The data files that are used for Work Ticket Label printing are PM_WorkTicketLabelPrint.m4t and PM_WorkTicketLabelsWrk.m4t.  When PM Options / Forms / Print Work Ticket Labels is selected, the PM_WorkTicketLabelPrint.m4t file will be populated during a Completion or Close/Completion transaction update in Work Ticket Transaction Entry.  You will be prompted to print the label during the update chain.  If you answer NO to "Do you want to clear the printed labels from the Work Ticket Label file?" (regardless if you print the label here or opt to do it later) the record will remain in the PM_WorkTicketLabelPrint.m4t.  When you go to PM / Main / Work ticket Label Printing, as long as there are records in PM_WorkTicketLabelPrint.m4t you will not get the "no data selected to print" message.  I entered 2 Completions and printed one label in the update chain and did not print the other label. I answered "No" to clear the Label Printing file and when I went to PM / Main / Work ticket Label printing both labels were available to print.

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This is a terrible "on demand" label printing option from the menu, in addition to it not being documented well.  Why can't this label printing menu option perform without having to do a completion entry?  Seems like a half-baked feature to me.  It is not uncommon to want to print labels for a work order, prior to data entering a completion entry in Sage.