Why can't I use zsh?
@bmike has already offered the easiest solution, but I wanted to go back to the GUI instructions not working.

I found that Apple’s instructions here can be confusing. Control-Clicking will not do anything unless you first “unlock” the Users &amp; Groups pane, as shown below in the blue box:



Once you have it unlocked, be sure you are clicking in the white-area on the left to access “Advanced Options…” as shown above with the blue arrow.

Then you should be able to access the options, including shell, from the Advanced pane.