I've set up 2 non-default game library locations. One in C:\Games and the other D:\Games.
Steam is installed on C: so I have 2 libraries on C and one on D.
When I go to install most games it lets me choose, but not Team Fortress 2. The dropdown to choose library isn't there.
I'd understand if I didn't have space, but I have easily enough space on C and D. Besides, it should at least offer the C:\Games location as that's the same hard disk as the steam install library, which it uses if I continue without being able to select any.
There are a few other games I can't install to a non-default location such as Portal (orignal) all the HL2 games, L4D2. It looks like it's old source games that won't let me choose.