That's all you should have to do to get things working. That said, I just did some testing on my end and ran into the exact same problem you did. I fiddled with settings for an hour and had some other engineers come look at things, and we couldn't find any problems. Finally, I deleted the device license, rebooted the License Manager server, and re-added the license, and then things worked perfectly. So, uh... Have you tried rebooting?

I notice that you mention the customer just upgraded to Rio from a different licensing model. I did the same thing on this end and experienced the same issue you did. When I tried following the same steps on an existing Rio server, everything worked. I get the impression that the License Manager may need to be rebooted after the update in order for device licenses to kick in. I'd give that a shot and see if it makes a difference.