When adding items to the IWiPhoneList asynchronously you also have to call AsyncItemsAdd afterwards.
Example:
for I := 0 to 10 - 1 do
begin
with TIWIPhoneList1.Items.Add do
begin
Caption := 'New = ' + IntToStr(I);
end;
end;
TIWIPhoneList1.AsyncItemsAdd;