I just got it to work.... Basically, my filter had been set to a custom range. The best way to do it is to follow the following steps:
1- create a filter
2- Move it to nDEPTH
3- Set the range to a value that is not "Custom - or date range" perhaps say "Last Week"
4- Perform a "save as"
5- Now you will be able to give the saved search a name and "click on the Schedule"
6- set the schedule values
7- set the email option to be notified when the schedule runs
8- now save the search
wait for the email to trigger.
I will wait for the search to work for me.