Ok, there's some conflicting/confusing information here - when I follow the steps you outlined, I don't have a File Types tab. I'm on Windows Vista though, and I think the Vista install of the Zune software removed the file types tab, because it's also missing in Windows Media Player 11 - file types are managed by the OS.
However, the tab you're talking about only relates to what program will open (in this case, the Zune software) when you open said file type. It's not related to sharing at all.
To control sharing, you'll want to look under OPTIONS > LIBRARY > MEDIA SHARING. It's worth noting as well that even if you can play a file type in the Zune software, that doesn't mean the Xbox 360 can play it - the Xbox 360 only supports WMV, MPEG2, and a few flavours of h.264. So if your files are in AVI format using the DivX encoder, it won't play on the Xbox 360 regardless of what Zune software settings you have.
To play other types of files, check out something like
Encode 360.
I hope this helps a little!