I'm having the exact same issue. I've patched Nehrim to the newest version (1.1.1.1) and activated all the data files, but when I click "New Game" on the title screen, nothing happens... Pity, I played through the majority of this mod awhile back and wanted to start from scratch again.
Got it working. Make sure you double click each of the data files (i.e., ensure that it is checked). That did the trick for me. I assumed after each click (and the corresponding rise in numbers for... something; hard to tell when it's in German) was enabling the data files, but that was not the case.