Hi, thanks for posting!
It's been a while since I last caught up with Chris - I hope he's well, do tell him I said Hi!
SetUpFixtures are a bit of a tricky spot for NCrunch, as they can't be associated with any one test in the suite - they are effectively global. This means that if a SetUpFixture fails on teardown, NCrunch doesn't know which test to associate the failure with, so it will simply swallow it.
The ideal scenario would be to tie SetUpFixture results to the project itself, allowing for easier reporting at a global level. There's a task for this in the NCrunch backlog, although it's quite a bit of work to implement, so I'm not sure how soon this feature can be delivered. If failures are appearing regularly in SetUpFixtures within your project, I recommend looking at alternative options (such as base classes in tests and/or static members), as this will also allow you to see code coverage within the setup/teardown code, making debugging easier.
Cheers,
Remco