I've discovered that you can't create region FX for clips that have clip automation. You either have to just get rid of the automation, or bake it into the clip by doing a bounce.
 
Is this intended behaviour, does anyone know? It's fairly un-intuitive. Sometimes the "Create Region FX" option is greyed out for this, and sometimes it's not, but it doesn't do anything when you select it. Not sure what the pattern to that is.

Declared not a bug, both in this thread and in response to my problem report about it. It would be good to put in your feature request for post RFX automation.