You are doing nothing wrong.
The box you checked in the "options" portion of your User CP will not add your signature to your posts. It only allows others to send you e-mail through the TFF server when they access your user profile.
In order to have your email address viewable on any posts you make, you need to access the "my profile" portion of your User CP and add your address in the signature block.
Need help with this? Just post here and I'll help you.