Using Blender v4.0 but I had the same problem in v3.6 on Apple Mac.
I am trying to duplicate a material but when I have the material selected and click on 'New material add material' all that happens is the name of the original material changes name. You can see in the image at the end of the material 026 denoting how many times I have tried to duplicate it.
I don't think I am doing this wrong? But am I?