So how does this work under iTunes 11? Why didn't it copy my library?

The related article tells you how to move your media folder (within the same computer). If you want to move the whole library that's a different process, one that as far as I know, no "official" document provides. You simply copy the entire iTunes folder from where it is, to where you want it, hold down shift as you start iTunes and connect to the library in the new location. This works best if you have not moved the media folder previously!

tt2