Did you ever find a solution to your issue?
I've tried creating a "Fan Box" in a widget on a development version of our blog (I actually just made a text box widget, edited the html via the blogengine interface and copy/pasted in the code snippet from the facebook developer wizard you linked
The JS seems to "choke".
1<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN"
3<html xmlns="http://www.w3.org/1999/xhtml" >
5 <title>Login Status</title>
9 document.domain = "facebook.com";
10 </script><div id="error" class="UIMessageBox error"><h2 class="main_message" id="standard_error">Invalid Argument</h2><p class="sub_message" id="standard_explanation">The Facebook Connect cross-domain receiver URL (http://qablog/default.aspx?fbc_channel=1) must have the application's Connect URL (http://www.facebook.com/) as a prefix. You can configure the Connect URL in the <a href="http://www.facebook.com/developers/editapp.php?app_id=132703160609">Application Settings Editor</a>.</p></div></body></html>
I thought that perhaps the issue was being caused by the fact that I was trying to use facebook connect on an internal domain. But I tried uploading a file "test.html" that contained the facebook fan box code and nothing else, and it worked no matter which domain I put it on.
Has anybody else run into this issue since, or figured out what's going on?