SQL Agent Job - "Run As" drop down list is empty

1. When editing the job step - switch to "Advanced" tab on the left, don't use the dropdown on the main page.
2. Make sure the user is granted a role in the job database, even if he's a "sysadmin"

(the screenshot is for SSMS 17)

I found the answer to this. Users who are not sysadmin have to have access to the proxy account explicitly granted to their role or username:

To grant access to proxy accounts for non-sysadmins

1. In Object Explorer, expand a server.
2. Expand SQL Server Agent.
3. Expand Proxies, expand the subsystem node for the proxy, right-click the proxy you wish to modify, and click Properties.

On the General page, you can change the proxy account name, credential, or the subsystem it uses. On the Principals page, you can add or remove logins or roles to grant or remove access to the proxy account.

http://msdn.microsoft.com/en-us/library/ms187890(v=sql.100).aspx