Right, I've looked in to this a bit and I think I found the root of the issue, it's basically WP8.
The XNA project runs fine for all supported providers in XNA on WP7 / WP7.1 / WP7.8, however a bug exists for WP8 using XNA projects that doesn't appear in the Silverlight code.
We'll try and look into it but it's likely the fix will have to wait until V2 unless you want to try and debug the error from source and submit a patch. The error shows up as a web exception.
"An exception of type 'System.Net.WebException' occurred in System.Windows.ni.dll and wasn't handled before a managed/native boundary"
The AdRotator.Log event outputs all messages from the current system for New Ads, Ad Providers tested, Ad Providers displaying, Ads Disabled and so on.
However I like your idea of having specific events available to consuming apps can hook into them instead of just a log. If you want to add that point and any others to the V2 backlog, then just put them up for vote here -
For the Future of Graphics gaming in AdRotator for V2 with the reduction of XNA we'll probably be expanding the 3D support to include C++ and MonoGame more prominently in the future