I can't tell from your message if this is what you've done but it reads like it might be...
Here's a mistake I've made that certainly causes this. In the server config in SPRO, note that it is Service.Uri but Server.Url. Before I realised they were different I had used Server.Uri and Server.Url, and Service.Uri and Service.Url, and both cause this problem.
Also note that if you change these values in SPRO, you need to refresh the browser page to force the Silverlight app to re-read the config, rather than just pushing the button for the server to try logging in again. That confused me for a while also.
Steve.