This bug occurs in version 2.0.16.

When creating your sequences, be sure that you have properly defined your channels. If you define the controller type, but not the controller number and/or channel, the sequence will not run when placed in a show.

It will, however, control the lights when being played in the sequence editor.

To verify your channels are set, open the sequence editor and click "Tools -> Channel Property Grid" and verify that each channel has a controller type, controller number and channel number.