I just tried LW 5.5.9 & the window shows up fine for me in order to choose selective parts of a torrent. This tends to suggest a slight corruption in your LW preferences. Did you upgrade? There's also the LW beta 5.6.x to consider also. Oh .. seems they have a different link, but there is LW 5.5.10 beta http://www.limewire.com/download/releases/latest_beta. Changes in versions can be seen here http://wiki.limewire.org/index.php?title=Changelog

For torrents, Transmission will automatically give you a popup window when adding a torrent that has multiple parts.

For Vuse, control-click the file & choose Show Details, click on Files tab. Then control-click on the files you wish to change priority to. I'm not sure of an easier way to do this in Vuse, someone else might know. I usually choose delete for the parts I don't wish so in that way it deletes the space from the HDD also.