Nothing's gone wrong. Remember that all over the country, different radio stations will be broadcast on different frequencies. Rockbox's normal behavior is to scan every possible frequency for any kind of signal.
You can make an FM preset list by just letting it scan everything, then pruning out whatever frequencies don't receive a signal for your area. Example: 100.3 MHz is a radio station in New York (where I live near), but it may not be in, say, Pennsylvania.
If that still doesn't work, there are FM preset lists you can download in the extras section over on the left hand bar.