This is a case that combines 2 grammar rules:

1) the agreement of the past participle with a reflexive verb

2) the agreement of the past participle with “en” used as COD

The first rule states that the past participle of reflexive verbs (which use indeed the auxiliary “être”) that have a COD follows the same agreement rules as standard verbs, ie that the agreement of the past participle must be made with the COD if it precedes the verb (see here).

BUT the second rule states an exception to the general rule of agreement with the COD that precedes, namely that there is NO agreement of the past participle if the COD is the pronoun “en” (see here). This applies to all cases of the rule above.

Hence:

If the COD comes after the participle => no agreement

Ils se sont créé des problèmes.

If the COD comes before the participle => agreement

Les problèmes qu’ils se sont créés

If the COD is “en” => no agreement

Des problèmes, ils s’en sont créé