Are you using IE 7 or below, by chance? I don’t think the comments load properly with older versions of IE.
Keep in mind that this is Facebook’s first release of the external commenting system, so if it’s not loading properly, it’s most likely due to their implementation of it. I’ve found several bugs that are on their side already.
In the next version of this plugin, I’m going to add a [facebook-comments] tag so you can insert it anywhere you choose. That may solve some problems.