Alright, I've tried a whole bunch of things here, so I'll post screen shots of each place I've stuck the security badge shortcode and the resulting footer.
Trial #1 - Dashboard>s2Member Pro>General Options>s2Member Security Badge>Customize Wordpress Footer
Code is here:

Appearance:

Trial #2 - Dashboard>Appearance>Theme Options>Footbar Configuration>Footbar Appendage
Code is here:

Appearance:

Trial #3 - Dashboard>Appearance>Theme Options>Footbar Configuration>Footbar Companion Codes
Code is here:

Appearance:

Trial #4 - Dashboard>Widgets>Logged-In Footbar>Text Widget
Code is here:

Appearance:

Note: I've also tried the Logged-In Sidebar area (which gives similar results to the logged-in footbar) and the AdCodes Widget ("Feel free to paste any type of ad code here. AdSense®, XHTML, PHP, IFrame, JavaScript, whatever: ") with no success.
Apologies for the long post, but you asked for screenshots. I'm not sure if you can even see the area I've circled on that last image (for Trial #4), but the red circle is around a small "dot", which is a 1x1px image generated by the code which simply links to s2member.com. So far, after all my tinkering around with the security badge, that's about the closest I've gotten to seeing it. I tried using the sidebar widget area and got similar results to the footbar widget area.
Anyway, I'm not sure what I'm doing wrong here, so any advice you guys have is much appreciated. Thanks again for your time.
Edit- Looks like it cut my images off a bit (I thought that might happen) - The screenshots are the bottom of my wordpress pages and my footer area. The white bar at the top of the screenshots is the bottom of my wordpress page content area.