This feature is not available when a source file does not exist for the class. It would be nice if you have a class that has all the functions implemented in the header file you could chose this option and it will create the source file and add it to the project file for you.
In addition, it would be great if this feature would work across the entire class instead of on a single function... so if you have 5 functions implemented in a header file it will move all the implementation for all 5 to the source file instead of having to run the refactor on each individually.
For now we have no intention of trying to create the cpp file. One simple reason for this is that we would not know where to create it. Some people place the header and cpp files in the same directory, but many people place them in different directories.
Plus we would not know which project, folder, etc, in the project the new cpp file should be added to.
Allowing Move Implementation to Source File to work on several functions at once is something we are considering doing: