The "edit data space" entry in the pull down menu is always grayed out, and the data space pulldown near the search bar is grayed out too. You can bring up a "move unit/effect/whatever" dialog to change the data space it's in, but you can't really do anything with it because the only available data space is the default one.
I was hoping to make a data space for my unit to make it easier to export/import. Am I missing something, or does it just not work?
Edit: Blizzard apparently didn't include the ability to add new data spaces in the editor. What a pain. You need to put a Base.SC2Data\GameData.xml file in the map (best done by saving the map as a sc2components folder) saying: