The "Auto-Release Action" setting in each Call Campaign dictates what happens when a Prospect is auto-release from a Campaign. If the System is not auto-creating a Marketing Opportunity record, the most likely cause will be the Values within that Picklist field.
The Picklist Value within the field on a Campaign should read "Release and create new Marketing Opportunity". If the Picklist Value is "Release and create new Marketing Task" the Auto-Release Action will not create the Marketing Opportunity. The Campaign Member will only be released.
Resolution: Edit the "Auto-Release Action" Picklist Field on the Campaign Object and correct the field value and API Name.
Go to Setup> Create> Objects> Campaigns
Under Custom fields & Relationship choose the Field "Auto-Release Action"
Note the Values and API Names of each Value
If the Picklist Value is "Release and create new Marketing Task" click Edit
In both the Label and API Name, change the word "Task" to "Opportunity"
Then click Save