The duplicate object errors can safely be ignored - they should be warnings, really. All they are telling you is that you've got duplicate certificates in the certificate store. Not a best practice, but it won't effect publishing.
As for the proxy error, this is strange. The sample catalog should be allowing you to create packages. Verify that you're using the SampleCatalogv4 from our site, and not the Notification Only catalog or something. If you're still having issues, send your availability to Customer Support and we'll set up a GoToMeeting for Monday or Tuesday next week.
Just for closure.
The proxy error was my mistake, and once I had turned off the fake proxy we use on Servers to stop people browsing from them, everything started working.
many Thanks for the prompt response.