I mentioned the problem briefly in my GFI Languard review, but just wanted to document it more clearly, maybe it will be useful to somebody: with the default settings my Nessus setup didn’t seem to return any results for a non-firewalled XP host. A quick packet capture seemed to indicate that Nessus was trying to portscan using SNMP and it received an empty response and thus it stopped. The solution I found was to disable all portscanning options, other than the TCP scanner:

Disclaimer: I’m only an n00b Nessus user, so the real problem might be somewhere else, but this seemed to resolve the problem for me.