This is not what happens for me.
Could you specify the OS/distribution you're running?
And maybe provide a screenshot of the dialog. I could imagine that some combination of options would be able to produce unwanted behaviour.
I'm running it on Windows. Here's a screenshot of the dialog.
I doesn't matter which option I choose, PDF, PNG, SVG or some of the other options. Starting Lilypond results in nothing. The dialog disappears and that's it.
When I run it on Linux, it works as expected. So it's somehow Windows-related.