This one is weird. On a few of my installs the new add-media beta button indeed works great. However, I do have a couple of installs where it doesn't do anything. You can upload media but when you click 'insert' the media is never inserted into the post.
This video is shot on a WordPress install using development version (3.5-beta1-22130) with no active plugins, running the default twenty-twelve theme.
The only thing changed with the install is that I am using multisite, but other than that, it is a virgin install.