Net class class and differential pair class are two different things. The way you do it in schematics is right, but it only includes the diff pairs in a net class called DIFF100. After that in the PCB you have to create a diff pair class from Design - Classes... - Differential Pair Classes, and include all differential pairs in it. Robert explains that in one of the Advanced PCB Layout videos, if you have the course. It's a common mistake and it's not very intuitive.
I was thinking about exactly the same thing this morning and how easy is to forget to add the pairs to a differential pair class. I have the idea to add a differential pair class parameter to the diff pair symbol in schematics, so that the pairs are added to a diff pair class automatically when importing in the PCB, the way it is done with the normal net class. I will try if it works and post here.
EDIT: The video from Robert:
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