Do I need to check or uncheck anything
For the Set Multiplier feature to work correctly, SpeedStep needs to be checked.
If you change CPUs, you need to delete the ThrottleStop.INI config file before running ThrottleStop. Some people have ThrottleStop on a USB stick and move it around from one computer to the next. If you do this, you always have to remove the ThrottleStop.INI file. ThrottleStop will create a new config file as soon as it runs and doesn't find an old config file. That might explain why ThrottleStop is showing 28T. The default multiplier for a retail W5590 is 25 so with a fresh ThrottleStop.INI file, I think this setting should max out at 26T.
Try clicking on the TRL button. On an unlocked CPU, you will be able to adjust the turbo multipliers in there. Also try clicking on the TPL button. On an unlocked CPU you will be able to adjust the Turbo Power Limits. Unlocked power limits are just as important as an unlocked multiplier.
Edit - Your screenshot shows that you have half of your CPU disabled. By default, a W5590 will show 4 Cores - 8 Threads in CPU-Z. You either have 2 Cores - 4 Threads or 4 Cores - 4 Threads. Make sure the bios is set appropriately and if that is OK, in msconfig click on the Boot tab, Advanced options and make sure the Number of processors box is not checked. You will need to reboot if you change this setting so Windows can find all of your CPU.