I've got the same error message, in the FPS demo. I can login, I can chat, I can create a game room, but then it doesn't do anything. I see the red crosshair, but after a few seconds it returns to the login and the debugger says:

User Left.

[SFS - DEBUG] UDPSocketLayer: Error reading data from ...

ThomasLund, I think there is stilll a problem when closing the UDP connection, in the the debug log below, I connect to the server, login, initiate UDP, join a room, spawn the character then I use

smartFox.Send( new LogoutRequest() );

debug log:
On Connection callback got: True (error ...