Ian,
We here at Logic have had this up and running, though most of us now run with Platform Builder 4.2. 4.1 Is pretty sketchy and I notice that is what the weblink you posted is covering.
Depending on how you built your original image, you will want to make sure you added all necessary components with a new image creation, and not adding the ccomponents into an existing older image. Sometimes not all the sub-dependencies are copied in if added after the fact. MS's dependency checking is somewhat lacking after the initial image creation is complete.
For more information you might want to check the news groups on Google, under Microsoft.Windows.. There is some really good information posted there. I am sure you have already, but I would run a search on these forums for .NET debugging, as it has come up in the past.
Logic would be happy to walk you through this step by step with a support contract in place. Please see the main support page for more information on this.
http://www.logicpd.com/support