I think you two are talking about 2 different things. CJ, you might have misunderstood his question. Psychomachine is asking about capabilities while you were testing roles.
Anyway I could create custom capabilities without a problem on WP 2.1 with role manager 2.2.1. They show just fine and I can assign them to roles.
The only question I have is how do I add a capability to a particular role so they can use installed plugin (AdServe)?
Can it be done?