Well, did you watch "Sunset Horizons"? If you didn't unlock it, ES won't show up. The requirements are the same for unlocking it on Proud Mode.
You don't have to unlock Sunset Horizons, it's there already. It's Birth By Sleep you have to unlock.
Are you sure you actually saved it? If you don't memorise which buttons which, it's a little difficult to get it right. I should know, when i beat Xemnas for the third time, i acsidentaly pressed the button that takes you to the menu screen without saving. I leveled up a lot in that try, so i was really pissed that i didn't save.
If you really did save, than the folling things should have happened:
Your save file has a little crown on it.
Theatre mode should a have appeared on the menu screen.
When open up the completed save file again, you will be back at the final save point in WTNW but a message should appear at the top of the screen, in japanese text.
Just a small tip, if you do eventually unlock the ES, you should really go a level up all the way to 99, drive forms, summons, get every ability, equip every ability possible, fill up all the slots in your party with as many potions and elixers as possible.
If you go to fight him straight after Xemnas, your extremely likely to be killed in one hit (Not one COMBO, one HIT!) evan in the easyer modes!