This will be fixed in beta6 (due out in a couple of days).
Still, usually it's not a problem because the debugger plugin only works with gdb and, although you can't set it in the "programs" page, gdb is used for debugging.
Unless the debugger you want to work with is gdb but with a different name than gdb.exe. In this case, just wait for a couple of days until beta6 is released...
Yiannis.
EDIT: about the options dialog, it didn't have any :oops: until beta6. If you have the debugging log open (not the debugger log), you can see a "not implemented" message logged when you are trying to access the debugger's options.