Maybe you've already done these, but some things to check:

1. Did you use the version of the module for v 1.2.x stores?

2. The line you see in admin->modules->payment (Protx Direct 3.21) is the right one - highlight it and click 'Edit', then enter your Protx user name and the rest of the settings, then save it.

3. Do you have 3D Secure enabled in your Protx admin?