Matt, I create the smartlist the regular way using the various steps you provide. Must be correct as the list works the way I would expect it to work. But, when finished, clicking away from the list does not bring up an option to save it, no matter what I click on - another smart list, etc.
Here's my info in case that might help at all.
Media Center Registered 10.0.66 -- C:\Program Files\J River\Media Center\
Microsoft Windows XP 5.1 Service Pack 1 (Build 2600)
Intel Pentium 4 2667 MHz MMX / Memory: Total - 490 MB, Free - 122 MB
Internet Explorer: 6.0.2800.1106 / ComCtl32.dll: 5.82 (xpsp1.020828-1920) / Shlwapi.dll: 6.00.2800.1400 / Shell32.dll: 6.00.2800.1233 (xpsp2.030604-1804) / wnaspi32.dll: 4.60 (1021) , ASPI for Win32 (95/NT) DLL, Copyright © 1989-1999 Adaptec, Inc. / Aspi32.sys: 4.60 (1021)
Ripping / Drive G: Copy mode:Normal CD Type:Auto Read speed:Max
Drive H: Copy mode:Normal CD Type:Auto Read speed:Max
Digital playback: Yes / Use YADB: Yes / Get cover art: Yes / Calc replay gain: Yes / Copy volume: 32767
Eject after ripping: No / Play sound after ripping: No
Burning / Drive G: HL-DT-ST DVDRAM GSA-4040B Addr: 1:0:0 Speed:24 MaxSpeed:24 BurnProof:Yes
Test mode: No / Eject after writing: Yes / Direct decoding: Yes / Write CD-Text: Yes
Use playback settings: No / Normalization: None