The Saleforce CLI as you have it listed there no longer exists, and has been superseded by the newer CLI, which will be listed as the Force CLI instead. The first time you authenticate successfully, it will automatically be available in this list. To authenticate to a Sandbox, make sure you use the -r parameter:
sfdx force:auth:web:login -r https://test.salesforce.com -s
I'm not entirely sure that there's a GUI option for this, you should probably just run this command from a terminal instead (Ctrl-Shift-`).