Have you done it via the UNC patch \\servername\sharename\ or directly to d:\sharename\ ?
The latter is not recommended and I don't know what that would do. Other than that does the WHS Connector say a "last balanced.." time/date at the bottom of the screen?
I don't think it's something to be worried about, but please check that you can access the shares via the UNC path from a client PC.
Some files I copied over to the \\servername\music from the console and my laptop over lan.
Larger files I copied to d:\shares\music from remote desktop and a USB drive

I can access all the shares from \\servername from the start menu