Ok, I think I know what the problem is. With ProTools 9 & 10 you no longer need to create an Aux and then a bus channel. You can create a new Aux channel when you assign an send output. The new track created from the send output selector can also be given a name. Do this:
1. On an existing track, click on an Output selector for a Send.
2. Select '[b]New Track[/b]' from the pop-up menu.
3. In the New Track dialog that appears, set the Channel WidthÃ‚Â to Stereo, theÃ‚Â Track TypeÃ‚Â toÃ‚Â Aux Input, and type in a name for theÃ‚Â field, for example 'Reverb'.
4. Click the [b]Create[/b] button
Pro Tools will now automatically create a new Stereo Aux Input and name it for you. Then you can add a plugin to the newly created Aux input.