No circles showing up in the Concentricity command is "as designed." GD&T was designed to find the concentricity of 2 cylinders sharing the same axis. To check concentricity of 2 circles, you can dimension the 2 center points using Build > Length > Point to Point.
Make sure the circles are on the SAME plane when using the command and that you currently have an alignment. When the results appear, push the NEXT button to see the deviation in X, Y and Z.
Keywords: concentricity, concentric