I cannot select the system partitions.

[admin]

Please convert the USB disk to MBR partition scheme and create two or more patitions (one small FAT32 partition for the system partition, one NTFS partition for the boot partition,
and other partitions for data partition), then use WinToUSB to create Windows To Go.

The best partition layout is as follow:
Partition 1 FAT32   100M         System partition
Partition 2 NTFS     ...G             Boot partition
Partition 3 ...          ...G            Other partition
...                                           Other partition


In particular, both the system partition and boot partition must be primary partition, and we recommend using built-in Windows Disk Management to partition and format the disk.
This type of Windows To Go drive can boot both BIOS-based and UEFI-based computers..

Reference:
What are system partitions and boot partitions:
http://www.easyuefi.com/wintousb/faq/en_...tions.html