SEPM - Application exception do not work

Hello,

I would ask you for help with application exceptions. I know how it should work but it don't. For application exclusion i go into Policies->Exceptions ->MyExceptionPolicy . In edition windows I go into Exceptions and ADD->Windows Exceptions->Application. Now, new window should show with possible application  to add, but in my management console this window never show. I have some apps added to Application to Monitor, but application exception window never show.  Please give me some advices, why it do not show. 

Best regards,

Szymon