As of today 20 May 2015, there is a validation error when trying to add a new data feed to Google Merchant. The issue is that the value entered when it is asking for the filename has to be alphanumeric and without spaces.
If you have entered spaces or other special characters and are trying to save it, you data feed will not be added and no warning is provided. There usually is an error.
Simply use lower case and only alphanumeric without spaces.