Since IFrame module has been accurately tested in all common environments, I would have to guess that the problem is not generated by IFrame module.
Do these couple of steps, please, to ascertain the cause of the issue:
1. Switch the container for IFrame to one of the default containers and see if you can see Edit IFrame Options in the drop down menu (accessible by hovering over a down-pointing triangle). If you still don't see it,
2. Reinstall IFrame module. Make sure that you are using the minimum required version of DNN or newer. I believe it's DNN 4.3.5
3. Please review your site's log for possible error messages that would indicate an issue with that page/module.