Did you try to set up a snipe later?
I run into this occasionally and just noticed that my DSL connection was down for a minute or so when I tried to set up a snipe.
I tried setting it up again a few minutes later and bidwatcher set it up.
The message you get back when bidwatcher can’t set up a snipe because it can’t reach ebay is rather obscure – it suggests that there is something unique about the auction that won’t allow a snipe.