Well, this is not a complaint to the great plugin, but for some themes.
Themes like Intense, and AquaGreen does not have any wp_footer call so the tracking code will not show. How to fix it?
Open up themes/[themename]/footer.php
and add <?php wp_footer(); ?>
before </body>
resulting in:
<?php wp_footer(); ?>
</body>
</html>
Hope this helps. I discover this after 5 minutes of head scratching. 😉