I had this same problem. I was using vista mobile theme and it was taking the spot in the settings were cylay settings should be. I disabled the theme and I was able to get cylay settings to appear and work. I also noticed that winterboard has some sort of cylay fix option, but this did not work for me I had to disable the vista mobile theme.
I am currently trying to see if cylay will work with my theme enabled even though I can't get to the options. I will get back to you on this issue.
Hope this fix works for you too.
I just found a pdf user manual for Cylay that may be helpful.
http://www.cylay.com/CylayUserManual.pdf In the manual it says that you should install OpenSSH before installing Cylay.
I really don't like the website cylay.com I don't find it easy to use or very helpful. The manual is also full of typos. Probably written by a foreigner to the English language.
This may also help. I am still trying to get the program to work properly.