We use MS SQL with NTWS and Self Service at thousands of sites. If you want to capture debugview output from the service you must run debugview as admin and check "Capture|Capture Global Win32" to see things from your service. Modern windows has service hardening and runs the service in a different ring. The local service account is somewhat restricted, but you can set the service to run under a user. Then you can adjust the rights granted to the user running the service. That's what we do on all of our installs, the SB installer creates a web server user and grants the rights the service needs and then we assign that user to service.
Hope that helps,
Larry Sand