I started a new game using version 0.92 and created my own custom race. At one point I chose to create a Treasure Hunter in my shipyard, but when it was done, no treasure hunter was created. I tried it again with the same result.
Here is a save that is at the end of a month where, when you go to the next turn, a treasure hunter should be created. If your experience is the same as mine, nothing will come out of the shipyard.
https://www.dropbox.com/s/bony50ru6xhkhed/TreasureHunterIssue_1.GC4Sav?dl=0