When I draw a rectangle on the desktop using the left mouse button (using a tracking pad on a laptop) nothing happens. No menu opens and therefore there is no option to create a new fence.
Drawing the rectangle using the right mouse button the normal menu shown in the following picture:
The only reference to Fences that I see in this menu is "Lock Fences" and I have tried both with this setting on and off.
EDIT: PROBLEM NOW SOLVED
Thank you Basj for your help. I am writing here as the forum rules wouldn't allow me (as a newbie) to make another post.
Before following the advice in the last post I had a look in the folder where the program was installed (In my case, C:\Program Files (x86)\Stardock\Fences), and I ran the executable program "SasSteam.exe".
I don't know whether this is actually what fixed the problem or not, or how it would help at all, but I noticed immediately afterward that I now have the ability to create Fences.
I am posting this in case it helps others, and also to acknowledge the help given by Basj.