It is only allowing me to use Saved Audience or Not Saved Audience.
We are deprecating older segmentation components to gradually replace them with new ones in Campaigns, which are with improved functionality (such as Date Segmentation) and increased quality & reliability. Using only the new components which are available in Campaigns and on the Audience page will guarantee data integrity - matching sets of users regardless where the segment is defined.
In order to target specific users in Messages, you would need to build the segment in Audiences, save it and then use it as a target in the legacy messaging module.
We also recommend to try out our Single Message Campaigns - which cover the functionality from Messages and more - https://docs.leanplum.com/docs/beta-single-message-campaigns#new-single-page-layout-for-single-message-campaigns