Hi,
That should have worked... The files on the image you posted match what I see on mine... I tried both a CD and DVD just to make sure that there was not an issue burning the file to a DVD... There was not...
I'm thinking that you might have a BIOS setting that may be responsible for the "Not Authenticated" error... Look for a setting called "Secure Boot" and disable it temporarily... I think it would be under the Bios "Security" tab, but maybe not...
Another possibility is that there may be a UEFI Bios issue booting with a DVD...
In your Boot Options, look for a "UEFI DVD" as opposed to just "DVD"...
On my machine, Parted Magic started to boot but did not complete when I choose "UEFI DVD", but my machine is not running UEFI Bios at the moment...
To remove the pmagic that is ready to burn... Just right click on it and select delete...
This is a copy of the file you right clicked on and selected burn... It will end up in the Recycle Bin. Be sure to double check that the original still exists before clearing your Recycle Bin, just to be safe...