That is the example of how to do a Change from Incident and that it is in the status instead of being in the process, but it is similar in nature. You need to add Add Incident on the Problem Process at the Open Status and if i am not mistaken there might be a need to add it at multiple statuses.
Ah thanks this was not exactly it but it got me on the right path. The Action to Create Problem in Incident Management was associated to a deactivated Problem process. All good now.