Using SKPF 4.3.268.0. If I click "check for update", a quick box appears that says it's checking, then goes away. Nothing else pops up. HELP says this:

Note: If the latest version of Sunbelt Kerio Personal Firewall is installed, a dialog box opens stating that the latest version is installed.

The Sunbelt web site says I have the latest version, but I get no dialog box.

Am I blocking something or is there something else I need to do or is this a bug????

I would say this is a bug (having tested on 3 computers). If you have an earlier version installed then you will be prompted to upgrade but not if your running the latest.