I have the very same issue. I'm with Stablehost shared hosting and am receiving the same message: "The changes have not yet taken effect. ..."
I do have a number of wordpress installations: each one is installed in a parallel directory under public_html/. I wonder whether multiple wordpress installations on one account may be causing this particular issue? Do I need to add the firewall to each wordpress installation before it works for any of them?
I'm adding a comment here so I receive an update as I cannot find a post that shares the solution to this particular issue.
Thank you.