Setting the mesh object you have created happens AFTER you have uploaded and rezzed it in world.
Go into "Edit" mode on your object and then go to the Features tab. You'll find the dropdown there.
If you are using Firestorm, you aren't going to have much fun until they get the Havok engine thing sorted out - I am reading that may be this month, but in the meantime I am uploading my mesh stuff on the SL viewer.
Even using the official viewer, I am getting mixed results - a large building I made this morning rezzed with "no physics" and I could walk through walls even though the physics shape was showing. This evening I re-rezzed it and the walls are suddenly solid and working like they are supposed to. In both cases I could see the proper physics detail under Develop/Render Metadata/Physics Shapes. Possibly a test grid issue, as that is where I am uploading them. No idea why this is.....
I am having fun learning Blender, but getting this physics stuff down is challenging. I seem OK if I choose the "High" LOD option, but trying to put a separate, simpler collada (.dae) file down to accomodate my build still has me mystified.