From the looks of your screenshots it should have worked. I tried it twice and it worked both times.
What I saw happening is this.
I put the cd in and it went to Gracenote to ID the tracks.My setting seem the same as yours.
Then I hit start and it started ripping the tracks to the location I chose,which was my desktop.As it ripped I could see the tracks being saved and yes,they were named Track 0,1..etc.
When it finished each cd I ended up with all the tracks named just like that on my desktop. Here's where something seems to not work correctly for you.
When I hit Finish at the bottom of the Rip box a popup comes up saying "Your Tracks will now be saved according to their tag information".After this finished I am left with a folder on my desktop with the artist's name that has a sub-folder with the album name inside of which are all of the tracks with the names just like on the disc.
Once that is finished nowhere do I see Track0,1,...etc. I believe those are just temporary namings until the process is finished.
So,are you hitting Finish at the bottom of the Rip box and do you get the popup with the saving message?