Reapply the policy, then check the ...\Agent\scsplog\SISIPSSservice.log. If there is an error thrown when applying the policy, it should be in there.
Also, when you installed the agent, did you have to run the Prerequisite Check Bypass to get the agent to install, or did it install without any issues?
Some other things to check -- make sure that all 3 of the services are running on the agent, and there is connectivity to the manager by running "sisipsconfig -test" from the command line.
What color is the dot next to the agent's name in the management console?