The first screenshot here is the login page being accessed from a URL that's not tied to a specific tenant, therefore you see the dropdown.
If your tenant's URL has recently been updated in the ConfigDB to be the URL you are accessing this tenant from then you might be getting the default authentication provider, even with that option checked under login priority.
This KB article might also help you understand what you are seeing:
This looks exactly right.
The one problem is that without that login screen, I don't have the option to log in to ConfigDB to make the changes.
Is there another way to access ConfigDB?
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That's what's covered at the bottom of the article. I used the windows host file on my app server but in a real world situation you'd want a separate URL/DNS binding just for ConfigDB. Treat it as if it's a separate, limited use tenant for another department.
If you aren't SSL locked I usually RDP to the app server and use http://localhost/heat.
If you are in an SSL only environment you'll need a wildcard certificate and multiple IIS bindings / DNS entries, one for each URL.