Zapping wands from the right-click menu doesn't allow targeting
If you activate a wand by selecting it after clicking on the "Zap wand (z)" or "Use item (U)" options in the right-click menu, it will not allow you to choose a direction, instead zapping the wand at the player character.
EDIT: It's possible the intent is to zap the wand at the right-clicked location, but in that case there should be a zap wand option on the right click menu for adjacent empty squares and monsters.