Hi Jan-Michael,
I'm working on CRM 2013 On-Premise with Rollup 1 and are still having the same issue as you.
On a fresh orgranization connection role Friend already exist with category social and is already related to itself.
If I create a new connection role e.g. Companion and want to add Companion as the matching role then I'm able to find Companion in the lookup, select it and add it. But the just added relation is not shown in the grid of matching connection roles and if I look
in SQL Database table connectionroleassociation no new rows has been added.
It is a supported functionality according to the SDK 2013 where your example is the first mentioned:
http://msdn.microsoft.com/en-us/library/gg328007(v=crm.6).aspx
I'm trying to register a support case with Microsoft but are currently having problems with our Customer Source access.
Br,
Henrik
Regards, Henrik Bo hansen