Too many files is my guess. Copy say 50 to a new folder and point WMP11 to it. see if they get added, if they do then that's the problem -- too many.
The 'monitored folders' setting is irrelevant when you're adding files on demand. It just tells WMP what folders to look in to auto-synchronise with your existing library, in case you delete or add some files later on and the library needs to update itself.