I found the problem.. I had manually created the 4 media sets "Rotation - Differential / Full / Incremental / Working set", because that's the way it is on my old Backup server.
When I deleted these and ran the wizard again, the wizard automatically created these sets.
I got the idea, when reading this article:
http://seer.support.veritas.com/docs/231464.htm
Quote:
"This can not be altered, only jobs created using the Media Rotation Wizard can use media sets created using the Media Rotation Wizard, and manually created jobs can only use manually created media sets."
I think this is a small bug in Backup Exec - it should have responded to me that the media sets allready existed and therefore could not continue and not just "no media rotation sets exist".