Is it a static page? Have a look at the installation tips:
“3. Using the blog-in-blog shortcode on a page which is designated as a static shortcode will work, BUT pagination will not work as you expect it. I know this, but have not been able to fix yet. It is all to do with the way that WordPress builds it’s URLs on the fly, and that is very complex!”
Thank you, screenager! Your hint concerning the code tag solved my problem as well. It was exactly the same issue.
