There is just few things which can be incorrectly configured

• Your site is switching between http and https mode, but you have enable HTML5 storage. HTML5 storage is different for each http and https site
• You have entered site domain in back office, but embeded code in site with different domain.
  
• Checked that Live Helper Chat should use ssl but site in which you have embeded widget does not use https
  
• In embed code generation window you have entered domain where Live Helper Chat is installed, but not the site it is embeded. It has to be site domain where Live Helper Chat is embeded.

So basically that's the things which can go wrong. The more flexibility I give, the more errors users does. So change these values if you know what you are doing!