I have Intellij ultimate 11.1, with the scala plugin installed.
I installed scala 2.9.2 using homebrew, which put scala in:
/usr/local/Cellar/scala/2
You need to specify /usr/local/Cellar/scala/2.9.2/libexec directory on your first screenshot. This is Mac brew specific, the same case is valid for grails installed via brew.
Standard Scala distribution download has different layout which IDEA understands correctly, brew is creating libexec directory where it writes /lib and /src directories expected by IDEA.