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If you just pick unit(s) and then select RESERVE in the orders list panel, then either right-click on the map or click the "Execute Order" button (top right on the Orders panel). If you click on the map, units will move to the point you clicked on and then find the closest base to reserve at; if you just click "Execute Order" then they will go to the closet base.
Well, I also had this same problem that I could not send my troops to reserves. I mean, sending your troops in the reserves works just fine when they are at your own land, but for example when I played USA, and I had lots of troops all around the world, that option does not seem to work. I had to manually move them to closest port and then send them back to USA, and there I could send them to reserves...but that game wasn't the latest version, and my new one is without units, so not sure if this is different now.