It looks like there is something off with this field – look at my attached field and compare with your (your screenshot if missing the list and field info).
Try creating a new lookup field to the same list and see if that works.
I have a hunch about what it could be: Did you maybe create the lookup field from the list view (by clicking Add column button?) and not by going to the list settings to add the field? – I think I saw something similar a while back where the field was missing some parameters or they were in a different format when creating the field from the list view.
Alexander
