I have/had the same issue and was stumped for quite a while. There is a drop-down select box, to let you list which widgets are in which column, but nothing to select which column you want new ones added to!
The workaround I used was to manually change the URL in the address bar of the browser: Change “sidebar-1” to “sidebar-2” to add things to the middle column, and to “sidebar-3” to add to the right-hand column.
I’m using unchanged vanilla WPMU v2.6.5 + BP downloaded yesterday.
