Clicking the game mode drop down box does nothing other than put this error into the console:
"
Warning: vgui.Create failed to create the VGUI component (DMenuOption)
Lua: addons\derma\lua\vgui\dmenu.lua:84: attempt to index local 'pnl' (a nil value)
I already sent an email to the Garry's mod support, but I did find a work around on the facepunch forums.
The only way I have to change the gamemode is launching a map and selecting changegamemode <map> <gamemode>
http://www.facepunch.com/showthread.php?p=23181605
Or what I just figured out on my own is you could probably use the override command below it to set the game mode to "terrortown"
Edit: I just confirmed this as working. So probably do this.
EDIT2: Overide works when making the server, but resets with a map change. Use "changegamemode map terrortown"