Looks like i have the same problem. I am writing a plugin and playing with wp_schedule_event at the moment.
I added a custom recurrence via the 'cron_schedules' filter in the constructor of my plugin class. Next thing i did was putting wp_schedule_event in an activation hook with my custom recurrence, but it does not get added. When i use something like 'daily' it gets added but not with my own recurrence.
Lookin at wp-includes/cron.php i see this:
$schedules = wp_get_schedules();
if ( !isset( $schedules[$recurrence] ) )
That seems that the custom recurrence is not available at the point i call wp_schedule_event and therefore does not get added.
Probably have to call wp_schedule_event on another hook and not on plugin activation, though that seems to be a nice place for it.