You have not installed the expansions yet and only Morrowind without the expansions is installed which the play option indicates.
Since you have deleted the construction set you need to reinstall Morrowind from the first disc.
If you want to play Morrowind GOTY version you need to continue to install both Tribunal and Bloodmoon in that order.
Correct installation would be disc1, disc3, disc4 and skip disc2 since that only have TES CS on it.