I pasted the permalink from one of my app.net posts into an empty WordPress post (https://alpha.app.net/stumax/post/1506834), and after publishing it, the only thing that showed up on my blog was the link. I then tried using the shortcode instead of the link (https://alpha.app.net/stumax/post/1506834) but only got an empty placeholder, similar to madnil.
If it makes a difference, I'm using the Launch theme: http://www.themezilla.com/themes/launch/
And my blog is at http://stumax.com/
The widget works for me, at least. Can you help me get the embed function to work, though?