Can you enable logging on the VPN client to Level 15. What you would do is first enable logging and change all the log levels to 3, then close the GUI. Open the vpnclient.ini file under c:\program files\cisco systems\vpn client\ and change all the LogLevel=3 to LogLevel=15. Save the file, then launch the GUI, and launch the Log Window - don't change any Log settings.
Once you connect, see if you catch anything in the logs when receiving multicast traffic about it being dropped etc. You could also run wireshark on that interface to see if the physical interface actually sees the packet.
