When you try to create a new Protection Group you are faced with the following problem "There is insufficient free space in the storage pool for this protection group. To increase the free space, cancel this wizard and add disks to the storage pool or remove non-DPM volumes from the disks in the storage pool. To assign custom volumes to selected members, click Modify."
This was because the Storage Pool disk that had been configured had a partition on it. The disk must be in the raw format in order to create a new Protection Group.
After deleting the partition from inside Disk Management, the Protection Group wizard allowed me to continue.