You can definitely find that option in the popup that you see when you want to burn a new disc. What version are you running? I burn UDF discs all the time (always do with DVD video). If I were at my computer (home computer) right now, I'd be able to describe it to you, but I'm not.
Are you running the wizard at startup? I'm not sure if there's a way to specify the file system you're using if the wizard is running. I have it turned off so I can at least more easily choose myself.
Try turning off the wizard (again, I'm not at my computer, so I can't remember how to do it). Then open a new compilation. Choose DVD from the drop-down box on the top-left, scroll down and select UDF. I don't know if the maximum file size has a difference between UDF versions. I use 1.02 for all my DVD video.
Anyway, hope that helps if you need it.
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Matt