I've just checked out the latest version of fuel and done a fresh install of the form module and I have been able to replicate the issue.
See screenshots in the following links:
https://www.dropbox.com/s/gla4de21rjakq15/formissue1.PNG?dl=0
Then …
Yes I'm using the advanced module and using the CMS. There is potential for the options to have spaces in but in my test cases they have not.
On a side note: I've since tried using the enum field type instead and the issue is still present.