Odd. I tested it with the Macedonian subculture: I first tried to put it in a completely new culture group (a duplicate of the Hellenic culture group with a different name), but that didn't work. Putting it into an existing culture group (Latin) worked fine. Creating a new culture group (still the same duplicated Hellenic culture group) and adding a new subculture worked fine as well.
Will have to do more tests when I get the time. I think you're right, I must have been doing something wrong.