>My understanding of the "Forum Participation" check boxes is to populate the drop down at the top of the messages list. Yes? No? A simple answer, please.

There is no drop down by default when you work in virtual mode. And, that is your case right now as this is how your account is configured. If it appears, assuming there is too much messages, then Yes, it'll show as per forum participation if you haven't defined the secondary list. And, No, it will not show as per forum participation if you have defined the secondary list as it'll be bound on that list.