FYI, after my post I went through a chat session through the Shopify Support center. Apparently the blue “change format” link ONLY shows up during the initial “purchase flow” for the label. Once you have purchased it, if you go back later to try and print the label, the “change format” link disappears.
I went back, voided the label I needed, and repurchased it. As soon as the label was purchased, the “change format” link was there and I could select thermal printing!!
Hopefully this helps out!!