I just installed Wordfence on two sites. Both sites, when I click "Start a Wordfence scan" it appears to begin. I see the red block in the bottom right that says "Wordfence is working..." then that goes away a moment later.
I don't see any indications of activity after that.
Here is a quick video that illustrates what I'm seeing: http://screencast.com/t/Tj0rgQIN0