You need to select all the video tracks. It does not do it for you.
What you need to do is put all your clips on different tracks i.e. one for each camera. Sync them up and then just go to Edit and Select all. After that go to tools, go to the multicam window and hit create multicam timeline. Then enable multicam editing. Your takes will appear as diiferent windows.
You can also ctrl-click to select particular video tracks instead of select all.
Personally, I prefer to use Vasst UltimateS.
Intel i920, 12GB RAM, ASUS P6T, Vegas Pro 9 (X64), Vista x64 Ultimate, Vegas Production Assistant 1.0, VASST Ultimate S 4.1