Check if your volumes are set to be visible (shortcut letter O to toggle). BlockingVolumes, and in fact all types of volumes will be added to the world in the shape of your current builder brush. A BlockingVolume will have a grey wireframe, and when you either move away the red builder brush or hide it using B after adding one, you should see the volume you made sitting where the builder brush sat at the time of adding it.
EDIT: And beyond the outline of the volume, BlockingVolumes typically aren't visible as solid objects/collisions in the default window mode. For that, you should try using the NonZeroExtent or ZeroExtent collision viewing modes.