Wizard: which game?
Whose prices you are about to set. Everything you answer from here on is a question about this scope, which is why it stays named at the top of every step with a change link beside it.
Game
Only games you are entitled to and that actually carry single cards. A game on your plan with nothing but sealed product in the catalogue has no buy prices to set, so it is not offered.
Set
Only asked for when the mode needs one — One set and Particular cards in a set. Setting a whole game skips straight past it, which is why the step has two shapes.
Changing the game fetches that game's sets rather than reloading the step — Magic alone has over three hundred — and you'll see Loading sets… for a moment while it does. Your set choice is cleared the instant you change game, deliberately: a set belonging to the game you just left can never still be sitting in the box when you press Continue.
If the list comes back saying Could not load sets — try again, change the game away and back. Nothing has been saved, so nothing is at risk.
What happens next
Continue takes you to the conditions ladder — or, in Particular cards mode, straight to the card rules. Back returns to the mode question. Neither writes anything.