Did you already have the books in your calibre library when you did this? If you didn't, it wouldn't work.
The correct way to create a virtual library is this:
1. Use Add Books to add your books physically to Calibre
2. Add the keywords/tags you want to use for your virtual library if they're not there already (select the books -> right-click on Edit Metadata -> Edit Metadata in Bulk -> Add tags).
3. Create your virtual library
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