I've had the same experience. I install version 0.3 and get the gnome.gconf error. Then after uninstalling/reinstalling I get the 'set_application_name' error. I did try installing python2.5-gnome-dev (in red pill mode) but it mode no difference so I un-installed it.

importing gnome.gconf or gconf in the python interpreter both report 'ImportError: No module named gconf (or gnome.gconf). This is with python2.5.1 running on OS2008 on an N800. Application manager reports the python runtime as version c1.0-2

dpkg-query -S gconf.so produced
python2.5-gnome: /usr/lib/python2.5/site-packages/gnome/gconf.so