There is nothing wrong that you are doing. A lot of the ad locations are missing in the recent vB4 versions and there have been a lot of complaints and bug reports about this.
As you can see here 18 of the 29 ad locations are confirmed to be missing and non functional.
http://www.vbulletin.com/forum/proje...?issueid=37193
These will probably be rectified in later vB4 versions and until then you manually place the ad code wherever you want the templates.