Specifying "British National Grids" in the projection sets the projection of your data (regardless of what data your shapefile will contain). It DOES NOT populate the shapefile with vectors/polygons of the national grids.
In order to see the British National grids as polygons, you need to either find a source that already has the data, or digitize the grids yourself. The answers to Ordnance Survey grids - download or generate? include possible sources for the data.
