In the column selection panel at the bottom of the dialog you must include at least one numeric column (the one with the probabilities of the "positive" class as selected above).
I had tried this but your suggestion prompted me to make the ROC config window larger. The columns (at least on my PC) were not showing each time I opened the config but when I enlarged it the showed themselves - I guess they were all there but hidden.
If anyone else has this problem just make the config window larger.