Thanks for your post. There are two different scenarios for licence failures like this one. One is during the product build, which is normal, and the other is when you actually run the compiled program.
If the licensing works successfully at build-time, your executable will not throw a nag requester when it is run. To verify your build, you can run it on another computer that doesn't have a licensed copy of SDK, or you can use a tool like Reflector to check for an embedded resource called <myassembly>.exe.licenses.
The problem with the blank "serial number" window is usually caused when the program is not running with Administrator access. It needs this to get some system resources, but this won't be necessary for the compiled program after the licensing is successful. You just need to make sure you follow the instructions for licensing SDK applications (create licenses.licx, etc) and run Visual Studio or whatever IDE your are using as administrator.