The list of MIDI interfaces only shows your MIDI interface, because the piano is not a MIDI interface, it is a MIDI device sending messages to your MIDI interface. Ableton Live does not know which devices, if any, are connected to the MIDI interface via a MIDI cable. MIDI is a somewhat simpler protocol than USB, and device names and models are not (generally) communicated over MIDI messages.
It goes something like this:
Piano MIDI OUT --> MIDI cable --> MIDI interface IN --> USB --> Computer --> Ableton Live
The MIDI messages your piano sends over the MIDI connection are something like
- "CHANNEL 1, NOTE-ON, NOTE:34, VELOCITY:90" and
- "CHANNEL 1, NOTE-OFF, NOTE:34".
The piano does not send messages like "Hello. This is Yamaha P-155 digital piano talking on MIDI channel 1." The computer and Ableton Live never get to know which device sent the messages.
If your piano did have a USB port for connecting to a computer, then it would be a MIDI interface from your computer's point of view, and then it would show up in the list of MIDI interfaces and labelled with its name.
Moreover, the thing you've clicked in the screenshot is for defining control surfaces. I do not know why it is not labelled in the user interface, because it is very confusing for new users.
I strongly recommend reading the manual. It can be found in the Help menu:
The First Steps section of the manual explains important things that you really should know. Ableton Live is quite a large program, and if you continue using the program without reading even the First Steps, you will likely have many more unproductive hours trying to figure out what's happening. :) Many of the concepts behind the software are not self-explanatory.
For example the section of the manual that says the following:
The MIDI/Sync Preferences are used to help Live recognize MIDI devices
for three separate and distinct purposes...
There is no way you could possibly figure those things out just by looking at the software's user interface. Like, what is a "control surface", do you know what that means in Ableton jargon?