There could be several reasons for such behavior. First of all please check the redmine_helpdesk.log file. There you will find proper error messages to pinpoint the issue.
Frequent reasons are:
- not enough permissions to write into files/ folder
- contacts whitelist is enabled (issues will be created only if messages were received from contacts already added to Redmine)
- a message has auto-reply headers (we remove these messages to avoid infinite auto-reply loop)