The media widget seems to open two browsers. I noticed this because when I press cancel there is still a popup, but the background is more transparent.
This creates the "You have not selected anything!" alert because it seems to look for selected files in the other browser.
The popup js checks for selections at: this.contentWindow.Drupal.media.browser.selectedMedia, but this array stays empty. This while images do get added to a selectedMedia array, but probably to the other browser.
I have the latest media dev version. I get this on single and multi value fields and in multiple content types.
Anything leads I can investigate? Should I dig up more information about my installation?