I am having exactly the same problem, and I am 100% positive I am following the correct procedure. I have setup MobileMe/iCloud accounts on more macs than I care to mention. I am definitely selecting iCloud as the account type, inputting the correct user and password, following the prompts (of which there are very few). Once the account is created, none of the settings are correct, Incoming Mail Server is grayed out as mail.example.com, Outgoing mail Server is set to none and shows iCloud offline. Even the account description I had set in a previous window is wrong, it defaults back to the generic 'iCloud' name.
As mentioned, this procedure is almost automatic most of the time. This is some sort of anomaly that I have never seen before, and yes I have sent a note to Apple. This reply is for the original poster, confirming that there is an issue that is not a user error situation.
I've been a MobileMe user since its inception, and I have seen countless little anomolies like this come and go. I suspect it will eventually just start working again. But right now it's not working for at least some users.