but I can't understand why there is no option for WAN acting as a wireless client with options to choose which access points to connect to
The way you tell pfSense which access point to connect to is to give pfSense the wireless parameters used by the Access Point: SSID, wireless channel, encryption type, standard (802.11b, 802.11g, etc), etc
Your access point may "hide" some of these parameters by having a set of defaults. That configuration technique works OK until you need to have multiple access points or your close-by neighbour uses the same access point in default configuration.