I'm not near a computer, but I'm pretty sure when you setup your storage repository, you specify what it's used for. I'm guessing you don't have the VM storage selected.
Proxmox
Proxmox VE is a complete, open-source server management platform for enterprise virtualization. It tightly integrates the KVM hypervisor and Linux Containers (LXC), software-defined storage and networking functionality, on a single platform. With the integrated web-based user interface you can manage VMs and containers, high availability for clusters, or the integrated disaster recovery tools with ease.
That might be it. I did it a few attempts.
Is it possible to change it on the fly or do I have to set things up again?
Edit: Can I just edit storage.cfg, create the directories with the proper permissions and restart stuff? Would that work?
Edit2: Yep, that did it. Just edit /etc/pve/storage.cfg with the right repositories and it works like a charm. Thanks for putting me on the right track.