It’s a known bug that you can’t make a Shipping build using default method (first screenshot).
Technically you will have a build, but it still gonna be a Development one, you will still have Debug tools, Print Strings. you are able to open console by ~ key and it’s also less optimized. Try it yourself. If you don’t have it then you are a lucky person. This bug has been out there for more than 3 years already and it’s crazy that it’s not fixed yet.