How do you start routing your differential pair?
It is another button from the normal routing. Use: Pcbnew / Route / Differential Pair [Alt + 6]
If it still does not work, then try it on a very simple PCB, such as 2 resistors connected by a differential pair, and if that still does not work, then zip that example project and post it here.
Also:
What KiCad version are you using? Differential pairs have been in KiCad for quite some time, but I do not know when it was introduced.
I am using KiCAD 5.1.5 version and yes, I am aware diff pair has no shortcut icon on the main panels. Tried it all and now gave up, but will create simple project to check it on its own.