Are you sure the location you're setting is in the currently visible region of the map? Did you scroll around and look to see if it was added?
Simply adding an annotation to a map does not zoom in on that annotation. You can use the following to zoom in on the newly added annotation:
-(void)zoomInOnLocation:(CLLocationCoordinate2D)location
{
MKCoordinateRegion region = MKCoordinateRegionMakeWithDistance(location, 200, 200);
[self.map setRegion:[self.map regionThatFits:region] animated:YES];
}