Just finished mine. I think FF XI had a way easier world transfer system/set up.
At first I got error messages.

Then only one world to select. Then a big list.
Took me 15 min to figure it out, about the confirm button.

If you can pick a would, hit confirm next to it.(this is a big must) Then after that, you can pick the world you are on.
You can not pick it before confirming the world to go to first.
After that confirm that then select the yes button.

All I got to say it keep trying. It is annoying.