One more thing: Check in Protect under Tools > Console Alias Editor to ensure that the server name or address you're providing is entered here.
Other than this we'll most likely need to work more closely, and it may be best to contact support directly. Otherwise if you're ok with it, go ahead an upload any logs you have on here. They can be found in the following directory on the agent system:
-Vista, 2008, & Win7: C:\ProgramData\Shavlik Technologies\Logs -Windows XP & 2003: C:\Documents and Settings\All Users\Application Data\Shavlik Technologies\Logs