Ok did some more testing.
Via de console it can create the wallets just fine, no problem.
When starting the latest download by simply double clicking it I get a wallet created 50% of the time give or take. Other times it's just doing nothing. I can't rule out server problems at this point.
I've just done some testing, and I may have found something.
At the server selection dialog, make sure you don't connect to "electrum.bitcoins.sk" as
it is dead (as far as I can tell). The problem is that it's currently among the 3 hardcoded server names in the client, which causes issues at wallet creation or restore if the client happens to choose that one. (The server selection logic in the console version is slightly different and doesn't have seem to have that problem)
Let me know if that solves your issue or not.
@ThomasV: you may want to have a look at this little issue

EDIT: also, why does wallet creation even bring up that server dialog, anyway? The process is completely local, isn't it?