In the hope it helps someone else, this is how I fixed on my site:
On a fresh install of wordpress 3.7.1, i installed this plugin first and activated.
Again, Nothing happens.
THEN i installed and activated “Members”, and and checked-off: “Redirect all logged-out users to the login page before allowing them to view the site.”
That made this plugin work, and i have not had a further problem with it 🙂
Same for me, using wp 3.5 and Register Plus Redux Version 3.9.10
This is on a fresh install, and I have NO other plugins activated.
After activating, i can go on a separate computer and browse all content (and post comments) un-logged-in, un-registered.
Evan, did you ever get an answer on this?