OK, I found a solution.
Changing the permissions on the spritegen and spritegen_default directories to 755 (owned by the user under which the web server software runs) resolved the problem.
I also included the spritegen/sprite.css and spritegen_default/sprite.css files in the CSS minify section. Without doing this last step, the SexyBookmarks section looks like a regular unordered list.
Hope this helps.