Please forgive me if I missed any part of your question.
Assuming you only have a single HTTPS version of example.com (without the www), simply select "Don't set a preferred domain".
Why doesn't it allow me to add a preferred domain to the verified https site?
Preferred domain settings are strictly for discerning how links are treated by Google assuming you have www and non-www prefixed versions of your site (HTTP or HTTPS).
Why do I need to verify http://www.example.com to prove I own [all 4] versions (http://www. + http:// + https://www. + https://)? It doesn't make sense.
If you don't have one or more of these given addresses, you shouldn't have to.
For every version you do have, it needs to be verified with Google if you want that version created as a property in the Google Search Console or to use a Preferred Domain (which implies two HTTP or HTTPS versions of the same site already available as properties).
Google wants verification of the properties created because (theoretically) all 4 of these addresses can lead to different content or sites (which may or may not potentially be under your control).
Do I really need to change the nginx config file to allow traffic to all 4 versions of the domain and authenticate them all with google webmasters to use just the https non www version?