Interesting. It's possible that you're having issues with privileges. Try killing the nm-applet in terminal and then starting it as root.
The command to do this would be something like:
$killall nm-applet
$gksu nm-applet
then try and see if you can set it up. Oddly, I never ran into this problem on my N810. I did run into problems with nm-applet and gnome-keyring-daemon (which is a mechanism of handling user privileges). You don't seem to be having gnome-keyring-daemon problems, but still having privilege issues.
Honestly, gnome's nm-applet has been unusable to me unless I was using lxde or hildon. According to Stskeeps, Hildon in Mer is using some script to make gnome-keyring-daemon and nm-applet behave better.

If you can't figure your way around nm-applets problems you can either try to manually configure your /etc/network/interfaces script or alternatively try another network configuring application like wicd. Try searching the ubuntu forums for info on configuring the interfaces file.