I too have not been able to remotely connect to my sling box on my MacBook Air. However, I've had no problems connecting via an iPad with the sling player...nor have I had any problems when connecting from a PC via slingbox.com using a Firefox browser.
My problem first occurred with MAC OS X Mavericks 10.9 in August 2014. Today I upgraded to MAC OS X Yosemite 10.10...I have the same problem.
The "initializing" process is very slow and often hangs. However, I usually can get to the point that a connection is trying to be made to my sling box. But all attempts to connect or reconnect fail.
Plug-ins. I’m not prompted to install any plug-ins when I try to "watch". Out of curiosity, I checked to see if a plug-in was installed. When I looked in the /Library/Internet Plug-Ins folder, I found nothing. According to what I've read, the sling box.com site automatically checks for the plug-in. But not being trusting, I re-installed the Slingplayer_plugin_18.104.22.1685 and checked to ensure that Safari allowed it to be used with new watch.sling.com ….it does.
Java. I updated JAVA RE to Java 8 update 25 today. Still no joy.
So now I’m at wits end.
Any help would be greatly appreciated.