It is likely that your previous security software was not completely removed. It is also possible that the WMI database used by the Windows Security Center is corrupt. If you are not getting a warning popup/alert, but you see the status in the Windows Security Center, this is a bug in OneCare -
Sticky: windows security center error - Vista / OneCare 2.5.2900.22
This post explains how to reset the WMI database, but I'd first look into the availability of a cleanup tool for your prior security package:
http://social.microsoft.com/forums/en-US/onecarefirewall/thread/c0ca9eb2-14b0-4591-be85-4b7fd1700191/
-steve
Microsoft MVP Windows Live / Windows Live OneCare & Live Mesh Forum Moderator