Get 850MHz 3G working on Samsung S5 Active
If the underlying baseband does not support 850 mhz it's not going to work.
Also, if you have a very old SIM it probably isn't going to work.

I believe the software can also prevent you to change the preference.

Maybe upgrade your baseband (radio) after rooting your phone. Maybe a factory upgrade will also do the trick, but I'm not sure. See http://forum.xda-developers.com/showthread.php?t=2794087 to root and be able to flash roms.

Personally, I'd try for a refund or return, try to let the store fix this issue. 3G is on the carton after all?