Well, there are a few possibilities. My guess is that you have firewall or proxy settings on a per-user level. Your commandline test app was running as 1 user and your service is running as a completely different user.
So, the first thing to check is your proxy and firewall settings. And if you're running on a separate computer then also checks some external things (firewall settings, network filter settings). Also, make sure you're not blocking wyday.com or code.google.com (which wyUpdate uses to check for updates to itself).
If that doesn't help, then get back to me and we'll dig in deeper to find the cause.