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Interesting - my HTC doesn't even have that option (ADB works fine though).Also, make sure MTP is turned OFF (Settings -> Storage -> Menu (3 vertical dots in the upper right-hand corner) -> USB computer connection -> un-/de-select Media device (MTP)).
(My Nexus 5 will NOT connect to adb with MTP enabled)
You'll probably want to turn MTP back on later, after you've used USB debugging.