How Boot Camp Assistant works depends on the model of Mac you have. If your MacBook Pro has a built-in optical drive (basically, all non-retina display MacBook Pros), you MUST physically burn the ISO to a DVD and install it that way. You cannot use USB to install Windows on those models. To burn the ISO you downloaded, all you need to do is right-click it in Finder and choose "Burn to disc...". Make sure you have a blank DVD handy.
If your MacBook Pro does NOT have an optical drive (i.e. a Retina display model), then installing from USB is the only way to install Windows. However, you mentioned you downloaded an ISO from Microsoft. It is not sufficient to just copy the ISO to a USB flash drive. You need to make the USB stick bootable. Boot Camp Assistant should have taken care of this for you. There is an option within Boot Camp Assistant that says "Create Windows Install Disk".
In either case, you do not see a Windows option in your Startup Disk control panel because Windows is not installed and there is no Windows install media in any drive it can boot from. Whatever options you selected, all Boot Camp Assistant did was create a partition for you. It did not actually copy anything over to it. The partition is empty.
NOTE The Boot Camp Assistant always formats the Windows partition as FAT32. It does this because OS X only supports NTFS volumes as read-only (it cannot create an NTFS partition), and you would normally reformat the volume NTFS during the Windows install anyway.
diskutil list
. This will show all your drive partitions, including the hidden ones. The command will not change your computer in any way.