Did you run the script from the menu / using sudo as in the info file? I don't see those errors as root, but do see as a regular user (just tested on 2rc2).
Test - try a port scan from somewhere on the net. There are some sites for that, they only allow one port at a time, but it's enough for the test. In the shieldsup test the ports should now show as stealth instead of closed (if a router or something wasn't blocking things in the first place and so they would have shown as stealth without a firewall too)