I am having this same issue with 4.0. If the monitor client and server are on the same machine it works, install client monitor remotely then the remote client doesn't. The monitor server is running in a VM. I have no firewall on the server, I opened ports specified in the manual on the client just to be sure.
There appears to be no logs on the client? I see it saying connecting, and then disconnected etc. Where is the client logging connectivity issues?