I've finally got to writing some code against Velocity (one of our servers at work has decided it's not going to talk to the domain controller any more so nobody can log onto it). And ... it's not working :-(
I'm pretty sure I'm doing the right things, I suspect it's a configuration issue. The exception I'm getting (having modified my code slightly to throw CacheExceptions rather than just Exceptions) is 'Could not connect to cache service'. I'm slightly gratified to see Christian Weyer gets the same problem - if someone like that gets it, what chance do I have! ;-)
For now, I've removed the extra instances so I'm back to a single host. I thought briefly that it was due to not having set up 'Everyone' to have read/write access but that didn't fix it. Worth remembering as a setup action though.
I'm going to review all my .config files to see if I've missed something - if I don't find anything then I guess it's for the Velocity team.