I just made 3 of them today without any problem.
To make the marker you either select an object then click the button on the toolbar, and it makes a marker within the bounds of the object.
Or make sure nothing is selected, then click the button on the toolbar, then click and drag in the render window roughly where you want it.
I just double checked with my mod and I was able to make a collision box. I use the select an object or more, then click the collision cube button method. Only thing I can think of right now is maybe there is too much going on in your cell. Also, this has occasionally happened to me with other markers but some have disappeared at certain camera angles when moving around in the render window.
Thank you for all your answers. But this is exactly what I am doing... But no collision boxes appear

I didn't have a problem with it before, but now it never seems to work. It's really weird.
I've even had one instance where I go into a cell, copy a collision box, pasted it in my own cell, but nothing appeared. When I went back to the original cell, the collision box was gone.
I've also had one thing happen, where I saw a collision box in one cell. Then I toggled markers off, causing all markers/things to disappear, and then pressed 'm' again. All hidden markers appeared, EXCEPT for the collision box...
EDIT: Okay, I got it to work just now. However, as soon as I toggled 'markers' off and then on, in order to view the scene without trigger box obstacles, the collision box disappeared again, and I cannot view it.
It seems that the only way for me to use collision boxes is to handle them
before I turn markers off. If I toggle markers even once, I need to restart the CK to be able to use collision boxes again...........