I would assume that it's because you left the package blank -- servlets rarely work if they are not in an explicit package. (But I wouldn't know for sure as I don't use an IDE to generate code for me.)
I just tried that wizard in Kepler. I didn't need to enter a package name (although I agree with Bear that you should.) One thing I noticed is that when I typed in the classname in the field (where you have it), the class name was automatically filled in under the bottom Class Name box.
It's really easy to create a servlet though so I think your best bet it to just create the servlet class without the wizard.