depends where you selected that options. It works this way: you can select any layout in theme options, but that setting will be overwritten by post / page layout settings. On each post or page, you also have option to override the layout, and set different. Layout in theme options is just global, default layout used in theme.
What creates problem on your end is that you selected full width layout on all your published pages on page itself. Go to your about page for example, and change layout there to default (it will inherit theme options layout setting) or select “2 columns, right”. Sidebar will show up, BUT you need to have widgets in it, otherwise content will be full width.
One more thing – on pages where you selected “Multi Sections” page template, you can’t have sidebars, either you use full width page template, or you don’t. That’s the way it is.