Create Selection layer is failing

I have Desktop 10.1 that is accessing data from sde geodatabase.
I select some features on the map, and try to do "Create layer from selected feature"
but nothing happen, and no error message.
the operation was successful when I had sde geodatabase 9.3, but since I migrated sde geodatabase to 10.1 and I cannot do that.

The RDBMS is oracle.

I check for errors in
c:\users\{my user}\AppData\local\Esri\
and nothing related to any error

or this location
c:\users\{my user}\AppData\roaming\Esri\

Where are the selection layers saved?
are they saved in the map document?