That's unfortunate. The SWYH server actually produces two music file streams, an mp3 one and a wav one (just change the .mp3 suffix for a .wav one in the URL I mentioned in my last post). Since they are in effect radio type streams, the files don't have their lengths defined, unlike a normal music file stored on a drive. It's possible that may be causing the VGF-WA1 a problem in that it can only play normal music files via a UPnP/DLNA server and therefore only handle radio type ones via WMP.
If this isn't the case, then the only other thing I can think of is may be it can't play the mp3 file with it's current bitrate setting, which you can change (range 32-320). Incidentally, for best quality you should try to set the sound capture resolution to that of the computer's current sound card setting (this will also set the wav file stream resolution). In the unlikely event that the VGF-WA1 supports file 'push' or 'play to' as a renderer, as well as 'pulling' the files to itself as a player, it should appear in the list of renderers that SWYH can control, in the 'Stream to' menu choice. In which case, it's possible that selecting the VGF-WA1 for SWYH control and send the capture file to might work instead. The choice of which of the mp3 or wav (PCM/L16) capture files are sent to the renderer is given by the 'Send stream to DLNA device using' setting.
I've never before tried adding a radio stream to a WMP playlist, so that it can be played by a UPnP/DLNA supporting streamer using the WMP DLNA media server. You're right that the SWYH server streams don't appear on the WMP DLNA server when added to the playlist. The SWYH stream files on the playlist do playback properly on WMP itself, though (using another computer on the network, to avoid positive feedback to SWYH's sound capture). However, I've also tried adding URL's to 'proper' internet radio stations on a WMP playlist and they don't appear on the WMP DLNA server either!
Are you sure this is possible / tried adding a custom radio station to WMP before yourself for use with the VGF-WA1?