Cannot create Application Exception

Using SEP12.1.5, but it was the same in 12.1.4

Within the SEPM console I open the Exceptions policy for a group and click on 'Exceptions' on the left side. Then i click the Add button, choose Windows Exceptions, then click on Application. The drop down disappears but then nothing happens! No expected pop-up or anything. If i choose 'Applications to Monitor', or any of the other options, i get a pop-up window, but not for Applications.

Thinking that i would need to monitor an application first, i added one to test with and i can see them in the list if i click 'Search for Applications' on the policy screen, but this hasn't helped.

Tried Googling, but can't find any related issues from anyone else.

Any help would be appreciated.

Thanks

Darren