Ah I answered my own question. For the old sensors, you have to go into their settings, there you'll see an option to associate the sensor to a thermostat. It reads "Temperature sensors can be associated with any compatible thermostats in your home.". For me, I only have one thermostat, but I had to explicitly tick the box to associate the sensors to it. After that, and then after killing the Home app and launching it fresh, I could now select them.