I have installed the latest version of GSX and Addon Manager, but when I call GSX Option I have this window with no options:
You don't have the latest GSX version, which is why you are missing the menu dialog. What you did, was probably installing an outdated GSX installer, and then applying the Live Update, having skipped some major update in the past.
Download and install the CURRENT version of the GSX full install now, and the problem will surely go away. No need to install the Addon Manager separately, since the GSX installer already comes with it.