If you're using Donut you're using an older kernel, or perhaps the presets for your phone from autodetect don't include the desrired frequencies. From SetCPU's manual:
In rare situations and in older kernels, and when SetCPU cannot get
root access, SetCPU may not be able to autodetect the full range of
speeds supported by the kernel. If this is the case, you can configure
SetCPU to use custom frequencies. To get started, you'll need the list
of frequencies your kernel can support in kHz (not MHz!).
Create a plain text file called “setcpu.txt” and place it on the root
directory of your SD card or on your SD card's ext partition (/sdcard/
or /system/sd/). The text files should sort the frequencies on one
line by comma, from lowest to highest. For example, the following is a
valid config file:
125000,250000,500000,550000,600000
To store the custom frequency list on your phone, save it as “setcpu”
with no extension and put it in /data/. SetCPU reads from the SD card
first and uses that text file if present, then tries to read from
/data/.
To configure SetCPU to read your custom frequencies, go back to the
device selection screen (in the Main tab, press Menu > Device
Selection), choose “show other frequencies” if necessary, and choose
the custom config option at the very bottom.
If you don't want to do that, you can also manually choose a different model of phone that offers the frequencies you're looking to use instead of using auto detect.