First of all, where did you install 'Terminal Services Licensing'? Check on the servers Control Panel | Add/Remove Programs | Windows Components. Is it installed on the SBS box or on the TS itself?
One thing is installing 'Terminal Services'. The other is installing 'Terminal Services Licensing'.
The free guide I wrote, "Terminal Services A to Z" covers this and much more, step by step. Free download at
http://www.wtslabs.com.
Cláudio Rodrigues
Citrix CTP