This usually indicates misconfigured connect url (or xd receiver url, check out your server logs for 404).
I had some similar problem when i set up a Connect-app. I had set the url to xxx.com without the leading www.xxx.com. This made the whole app act treally wierd when i used "www".
So, check your configuration one more time...
Another possible solution:
IE has security zones. Internet, Intranet, ... etc
Each of these zones have different level of security settings. One of these settings is "Enable Protected Mode".
Try by enabling protected mode in Intranet zone too.