Mike,
One main piece of advice, when deploying like this, you will want to use the keytool to ensure you use a custom key for communication between your systems. If this is not done, you will be using the default key that ships with the product, which could allow external parties to talk to your server and receive information.
I would guess that you likely can't ping the server as you haven't opened up the ports for ICMP, or Amazon is blocking you from pinging the system. Can you ping the system from any other servers currently hosted in the Amazon site? You may want to try that first and work with Amazon on network configurations to ensure optimal connectivity. This sounds more like a network troubleshooting issue than a DLP specific communication issue. You may also want to try and open up a telnet session to the server on port 8100 to see if the communication is there or not.
I will also bet some of the partners on here can chime in and give you some tips as I haven't done it myself in that method. Some of our partners though actually provide this service in a similar manner. I also know that I've had some of my own customers actually deploy the Prevent boxes in their DMZ for endpoints to communicate back in when not on the internal network. This would fall in line with a similar configuration.