Rounding only gets activated for subdivision objects. If you select the mesh and go to build->Convert to Subdivided, you'll see the effects of the rounding. Note that to see changes in rounding, you have to double click the subdivision object and press OK every time you change the edge properties.
Creasing only gets activated for regular mesh objects. It's kind of the same thing as smoothing groups, except a little more flexible. Edges you crease will ignore the smooth angle.
Edit: To get slightly rounded corners, you can try the bevel tool ('b' when in point edit mode). It isn't perfect though, so if you can't get the results you want then I recommend doing it manually.