Hi Barry - I'll try and help with one issue - the "agent(s)"
It's not clearly described, but, in fact, there is NO SQL and NO Exchange agent.
When you enter the license key for one or both of these on the media server, you are merely "turning on" functionality that is already in the BE code.
They work in conjuction with the BE Windows Server remote agent. So, first of all, you need to be sure that the remote agent is correctly installed on your (remote) Exchange server and (remote) SQL server. When you drill down the backup selection tree for those server(s), do you have the option of 'Shadow Copy Components' (for Win 2003 servers)?