Shattered, open the superuser permissions app, and clear out anything that is showing there. Then double check the Settings tab. Make sure that notifications are turned on and notification type is set to "toast". Under the settings tab, scroll to near the bottom and see what version of Superuser and su you have and let us know what it says.
Then try SetCPU again (or typing 'su' in terminal) and this time look for the popup window asking for permission. When it comes up, make sure you check the "always" or "remember" box BEFORE you select allow.
good luck