In the picture you posted, you are on the sending tab with the add address window popped up. This should add it to the sending tab, which you use for outbound coin transfers. On the receiving tab, when you click new address, there won't be an option to put the address in, only a name, which is just a nickname for your reference. If you put the mgox address there, it doesn't matter, it's not seen/used by anyone but you and the address that isn't the nickname is what the wallet has a key for.
OK, you are right. I didn't put it in the label, but it wasn't the same address and the labels got mixed up somehow. Nevermind... I will hide in shame now. Sorry for wasting your time.