If I understand you correct you want to set an escaltion point for existing Incidents which have no response level set at the moment?
Yes the hav not set this response level at the moment!
I've tested it in my VM now
I created a new Incident with no SLA / escalation
Changed the Incident from "Open" to "With Customer"
Set the SLA "Test" with an escalation of 2 minutes but it will not escalate (again...)
It looks like you can't set an escalation afterwards...
Maybe a workaround which will help you:
Create a new status (a dummy status), bring all your existing incidents with no escalation into this status,
create a new escalation which will run from the new status (dummy status) to resolved or closed
then all existing incidents will escalate from dummy status to end / resolved