It sounds like what you're seeing is the expected behavior: The first time that you use Make Movie, a dialog box appears to ask what your target location is for output files. After that first time, the dialog box no longer appears because After Effects assumes that you always want to begin with that as your target location.
If you're just closing that dialog box without indicating a target location, then you don't add the item to the render queue.
BTW, this is one of the reasons that we removed the Make Movie command from After Effects CS6. For many years, the Add To Render Queue command has been a much better choice, with more functionality and fewer chances for confusion like this.
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Todd Kopriva, Adobe Systems Incorporated
After Effects quality engineering
After Effects team blog
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