To answer your question, you are getting a result - but not one that you can see.
Because the finite integral of the waveform w.r.t. the total collection time is a product of the total collection time (you should notice that the vertical axis of the integral waveform has units of Volt Seconds [Vs] by default), and because the total collection time can be very small (us/ns/ps) the actual amplitude of the integral waveform will then also be small. In order to see it you will need to scale the Vertical axis of the integral waveform according to the timebase/total collection time you are using. For instance if your total collection time is 2mS, then a scale of mVs will expand the vertical resolution sufficiently to see the integral waveform.
To scale the vertical axis for mVs, go to Tools->Math channels, highlight your integral library function, then got to Edit->Next->Next, change the Min and Max values in the Range section to -0.001 & 0.001, and change the Short Name in the Units section to mVs.