Woosh. Ive never seen this before... did you use the normal boot camp assistant and did the setup go normally and everything?

I think to solve this, even though you don't need to, you can use rEFIt. I use rEFIt because i have a triple boot, basicly its a boot loader that replaces the mac one (the one on your screenshot). It should detect windows and show both options at boot regardless of whether you press option or not (i think)

it will look like this (except for the linux penguin, cause u don't have linux installed)



if you google it there will be guides. It's easy to install and you can always easily uninstall it to restore everything to normal. It may look like a experimental beta program but many people use it and ive never seen anyone have any problems with it.

as for your problem, there might be an easier or better way to just solve it, but i don't know atm. you could try going to System Prefs > Startup Disk and seeing if Windows shows up there.