Current code doesn't auto-create courses in enrol/database unless you explicitly use enrol_database_sync.php script. It seems the code to auto-create courses is just present in sync_enrolments(). setup_enrolments() just tests if the course exists or not, and if it doesn't it simply skips it instead of creating it.

I'll attach a patch for this in a few hours (it's a bit late here

Saludos. Iñaki.