In your first pic I don't see any optical drives listed above "Save Disc Image file". You should see your drive(s) listed so you can choose which one to use. If you don't see one listed then your only choice will be to save an image and then burn that to a disc. The question is why don't you see them.
You said you can burn Data and MP3 discs. The process should be the same The first pop up box you get should be the one letting you select drives or an image. So you're getting that box when doing the other burns,correct? If so then Roxio is seeing the drives.
Your installation could be corrupted. If you are getting the drive selection screen on the other methods of burns then maybe you should try an uninstall and reinstall.
P.s.-I am using NXT6 but MDC hasn't really changed.I was able to burn .wav files to an audio cd just fine.
Another thought.You should be able to use Roxio to burn the image. You have to get out of Music Disc Creator and go to Data discs (probably) and choose Burn Disc Image. You should be able to create the disc that way also.
Again I'm using NXT6 so the location of the Image burn could differ.I can't remember back to NXT2