I had the same problem. Did you compile from source? If so, see Lachlan's note at the bottom.
"One trap is that you should NOT have the
/service
directory set up, or it will assume that svc is already running, and not complete the install.
So leave the setting of the link as the last step."
This might be worth adding in to the documentation as it caused me a few issues when I tried installing. From memory I had to kill the daemontools processes, delete the /service directory, reinstall and then create the link again.
