Another point to remember is that although it may seem like a new series to you, it may have been shown before so setting it to New only means that it will not record. You would have to set it to New and Reruns.
The quick way to check is when the menu returns to the Guide once the setup is complete, i.e. is the Series Link showing?
I have almost been caught out by this a couple of times, e.g. this week, a "new" documentary series starting on a BBC channel is actually a repeat and I realised this when no Series link icon appeared on the entry in the Guide.
Nice to be able to post again, after their mistake (removed by the Censorship team)