I was have the 'misconfigured setting' and have tested everything as suggested. If I use 'curl' to access wp-slimstat-js.php I get the Invalid data format, as expected. I also use Better WordPress Minify and excluded wp_slimstat from that as well (which is served up via CDN). I still get the misconfigured setting message. In all other respects slimstat works as expected.
I see in the HTML code produced a line that has slimstat_tid in it and the function ss_te(....) from the JSDeliver CDN. So the JS is getting loaded. THere is no difference if I use the CDN vs local.