I've compiled the latest version of shadow (without PAM and selinux support), but I can't create new users or groups.
I don't even get a error.

It's just like:
bash-4.1# useradd -d DIR -u NUMBER USER
bash-4.1#
but if i take a look at the /etc/passwd or /etc/shadow file there's no entry.

I hope you can tell me why

What distribution?
Why are you compiling instead of using the pre-compiled release available for your distribution?
Come to that, nearly every distribution complete enough to support compiling the security system post-install has it included by default DURING the install: how,why did you not include it in the first place?

If you are loading one of the "from sources" distributions, are you using the version and configuration documented for that distribution and following the maintainers install and configuration instructions?

I'm trying to make my own distribution from source

Hi,

own distribution as in 'Linux from Scratch'? Did you configure shadow properly after installing it? How did you compile it?

Have a look here:
http://www.linuxfromscratch.org/lfs/...06/shadow.html

No not LFS