First, a note. Check Point clustering doesn't involve virtual MAC addresses by default. The VIPs resolve to the real MAC address of the active member's interface. You can enable a shared virtual MAC by opening your cluster object, going to "ClusterXL and VRRP", and checking the box "Use Virtual MAC". With the way Check Point's clustering works, this normally is not necessary.
The fact the interface doesn't show up in 'cphaprob -a if' means something is wrong with the interface config. It sounds like you've taken the right steps to build the cluster interface, but I suspect the interface name doesn't match the interfaces on the firewall. In SmartConsole, open your cluster object, go to "Network Management", open the cluster interface you made, and go to the Advanced section. Look at "Interfaces Names" at the bottom. The name there needs to match the name of the interface as seen on the firewall command line. I believe it's even case-sensitive.