I haven’t had a chance to play with the new StatisticsManager API yet, but from a quick look at the header I’d guess you’re missing a call to AddLocalUser.
Also make sure that you’re regularly calling the DoWork method, probably from a Tick method on FOnlineLeaderboardsLive.
The SocialManager-based implementation of FOnlineFriendsLive might be a decent example of how to deal with these manager objects.