If you know for sure, that your firewall on the Windows PC running SLE has port UDP 514 open and that you have a syslog sending device sending to the ip of this PC and you still get no data, you should examine what other programs are running on the PC.
Chance is that you have been experimenting with other Syslog Servers and one of these still has a collection program running as a service – and the it eats all the data before SLE collect has a chance.