Which version of CUE are you configuring?. You can use the command show software licenses in CUE prior to version 7 to check the application mode (CUCM or CME). If it displays CME, then you're using an incorrect license file.
If you ordered a new network module with Cisco Unity Express 7.1 or later included, it is shipped with the Cisco Unity Express image and the corresponding licenses preinstalled for the packages and features that you specified. The call-agent is no longer specified using licenses and can be configured either as part of post-install process or during bootup.