Why can't I click "chose what the power button does"

[BurntUpToast]

When I go to control panel and "Power Options" There's a prompt at the upper left that says "chose what the power button does" that I'd LOVE to click. But every time I click it, nothing happens. Its just the screen from before. BUT if anybody has any other way in helping, here's my problem: every time I press "shutdown" on my laptop or the power button, my headphones are still lighting up meaning that the laptop isn't fully shut down. I need help trying to shut it down fully because the light is annoying when I'm trying to sleep.

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