Yes, you can show the density rasters in 3D. It's unclear to me from which layer is the dialog box you're showing -- the points? You can show either the points or the density raster "floating on a custom surface" (i.e., navigate to the density raster in the drop-down bar).
To show the density raster instead of or in addition to the points, you'll need to get to this same dialog box from the Properties of the density raster in the ArcScene Table of Contents.
Most likely it will look dreadful on the first try. It will either be utterly flat or ridiculously spiky or won't show at all. Do not worry. Mess with the "factor to convert" box, over on the right next to "Custom." You should be able to edit the box. It is NOT really greyed out; it's its own thing, not a sub-option.
If your density values are very small, especially compared to your x and y values, your raster will look flat. Put a big factor in that box -- 100 or 1000 or even 1,000,000 or more and see how it affects your 3D visualization. If your problem is the opposite -- too large values -- try 0.1, 0.01 or 0.001. Experiment until you get it right.
If you decide to show both, and you'd like the points to be visible sitting on top of the raster, you can use the offset box and raise them a little. Again try different values in there to see what looks nice.