If you want to try again, I'd suggest using ImgBurn, which is a free burning program that is easy to adjust for your situation.
When you start up ImgBurn, click on Write files/folder to disk. This gets you into Build mode. In the top window, click on Options, which will allow you to change file system. You can change to UDF and pick the UDF revision, which would be 2.5.
To add files, click on File and Browse for source file.
Of course, its just a guess on my part about the file system. Just threw it out there as a possibility.
Edit: I see you've found the setting in Ashampoo. You posted as I was writing this.