I just had the same problem after going through the same steps as you (adding a room and all)... but fixed it in a similar way as tkmedia said (I'm running UI1 BTW). For whatever reason, I needed to redefine my room.
I clicked on the LinuxMCE button in the lower left side, then "Setup Wizard". Clicking next at the first screen talking about the bonus cd and then "No, I won't use a remote" at the next screen which brings up a window with 3 options and a cancel button. The second button, "House Setup" is what I used. Going through that and adding a room eventually yielded a screen stating that the orbiter (maybe just the router) would need to be reset. After resetting, my audio files were present.
Note: I don't see any files listed when the "Filename" option is selected after clicking "Audio" from the main screen. But by selecting "Title" all of the files are listed.