I am having the same problem, along with some other weird behavior. The problem is not with installing the Visitor Maps Geolocation Addon. That seems to work fine. The problem is that when you go back the Visitor Maps settings after installing the geolocation addon, you get the message “The Maxmind GeoLiteCity database is not yet installed. Install Now” When you click on Install Now, it takes you to a new page that says “Sorry, you are not allowed to access this page.” as jofas said. This happens whether or not “Enable Geolocation” is checked.
Also, the “Enable Geolocation” checkbox resets to empty every time I try to install the Maxmind database, and even if I check “Enable Geolocation” and update the settings, when I click on the visitor map viewer link in the Settings page, a popup opens up that says Geolocation is not enabled. Any suggestions?