It is a bit of a flaw in the implementation of TestFixtureSetUp (and TestFixtureTearDown) that any exceptions are not well reported. I wrote the first implementation of them and I never got it to work the way it was supposed to. At the time the concepts in the NUnit code were tightly coupled to the idea that actions were directly related to a single test. So the reporting of everything was related to a test result. There wasn't really a space for reporting something that happened at the suite level without a huge re-write (it isn't a refactoring when you change a sheep into an escalator).
Because of that bit of history it's hard to find out what really happened in a TestFixtureSetUp. There isn't a good place to attach the error. The TestFixtureSetUp call is a side effect of running a test instead of being directly related to it.
@TrueWill has the right idea. Check the logs and then modify the test to add more logging if necessary. You might want to put at try/catch inside the TestFixtureSetup and log a lot in the catch block. I just thought I could add some background to it (in other words it's kind of my fault).
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