Hi there,
The 'Set drop-down list value on web page' action usually needs a <select> HTML element to work, under which the <option> HTML elements contain the various names as options.
It seems that this is not the approach followed in this webpage, which is why the action is not working. Have you tried to work with the 'Click link on web page' action, first clicking on the drop-down menu and then using the another such action to click on the option you need?
