Ahh.. With Artio, you may just need to change the following setting:
In the advanced Configuration for Artio SEF:
"Fix index.php links" set to No
This is in our Common Support Question area, and was told to us by a user that fixed his site. I honestly don't know much about Artio, but we can definitely help if that doesn't work.
As for the Comment color scheme option, I see where the confusion is

That setting was added in JFBConnect 3.2.1. When 3.2.0 came out (which you're using), Facebook didn't have the color scheme option for Comments. Enough people complained (including us), and they added it the day before 3.2.1 came out. We got it in there as fast as possible, and if you upgrade, you'll see it!
Hope that helps.. forgot that it's only in the bleeding edge
Good luck!