I tested this with a continuous EEGLAB .set file, with the same options as in your screen capture.
In output, I get correctly epochs of [400-2000]s.
Are you sure you are not trying to import a file that is already epoched?
I you can't figure out what the problem is, please send us a small (and zipped) example file with which you are having issues (upload it somewhere and post the download link here)