Weird - I don't remember having to select a time zone right off the bat when I set up my regular edge. (Of course, it was months ago) So, I can't picture the screen you're describing.
Have you tried choosing a different, random time zone? (Can always be changed back later.)
And, do be sure to post any tech problems at the entourage forums here (
http://www.entourageedge.com/forums/forum.php) as the user base is quite quick to respond to questions. Also, submitting a help request to Entourage usually works quite quickly.