This is expected behavior. Marking In and Out points in clip thumbnails is not supported directly in the Media Browser, you must import the clips to the Project panel first. Clips in the Media Browser cannot have metadata added to them to them (like In and Out points) until they are in the project.
You can still open the clips from the Media Browser into the Source Monitor to set In and Out points before importing them into the project if that workflow is important to you.
Oh - ok. I was watching the What's New in Premiere Pro CS6 (http://helpx.adobe.com/content/help/en/premiere-pro/using/whats-new-cs6.html) and had thought that In and Out points were being set in the Media Browser, but it was in the Project tab after the clip was imported. Thank you for the reply!
No problem, to be honest, it tripped me up too when first testing the feature.
Thanks for an excellent question.