I have the exact same problem, if I put the widgets in BEFORE upgrading to WP 2.8 and the new “Advertising Manager” then upgraded it works fine. The other sites I have, I didn’t do it in this order so all I’ve got is the default ad and some other ad in my widgets.
I’ve got four ads I’ve created (back in the day) that need to be re-added to my sidebar. Unfortunately, when they changed the module name I had to un-install the first adsense manager plugin, which removes the widgets from the sidebar, then “upgraded” to the new one which seems to have wiped all those required widgets from selection.
Now I’m stuck w/o ads in my sidebar at all.