For some reason, when I create the menu item for 'Edit Item' it will not let me select the target window to be 'new Without Navigation'
The drop down box simply remains open unless I select one of the other two options.

How can I fix this?

Hello Mikey,

By default the menu will always open in a new window without navigation or in a modal.

You can bypass this behaviour, you can use an iframe menu item and use the link generated in the item edit form menu.