No, ignore the settings in System Preferences. It's not a modem, but System Preferences doesn't know what else it might be.

Are you uploading to Garmin Connect? If so, you may need to select "Transfer All" in order to get your runs into GTC (not sure, since I don't use GC). Are you re-setting the watch before you try to upload? Be aware that ANT+ Agent will search for a device with new workouts, not just a device, so if it's already uploaded your workouts to GC, or if you haven't reset your watch to store your latest workout in History, it won't find anything.

Did you install ANT+ Agent separately from GTC? Try maybe downloading the combined package.

If none of this helps, try the Garmin Forums. They're very helpful over there.