B737 Captain reported receiving a terrain alert during final approach and conducting a subsequent go-around to return to a safe landing.

Narrative

FLT ABCD; the First Officer and I determined ILS XXL will be assigned. It was verified and briefed according to SOP. First Officer flying; at around 1800 AGL called for set target speed; flaps 30; landing checklist." Given the conditions; I wanted to verify target speed was not below flaps 15 speed. I set flap 25 to ensure I did not set a target speed below flap 15 speed. I set target speed but fail to return and set flaps 30. Executing the landing check list; I did not properly verify the flap 30 indication and missed it was selected flaps 25.As PM and Captain my attention was divided with the icing conditions (considering if wing anti-ice might be needed); LLWS that is being reported; and having a tailwind on final; with the wet field conditions. Add on to the work load; the autopilot was off. I had responsibilities for the MCP (Mode Control Panel) commands and radio communications. Inside of 400ft; we had the aural "too low; terrain." I called a go-around. We executed a go-around. We return and land on XXR; uneventful."