I've since found that if I let the plugin create the container (and not create it myself) and let it create the link that the error message is still present but it works.
I've pressed all the upload buttons and now have around 150Mb of data being served from the rackspace CDN.
After making the change make sure to purge the Page Cache, otherwise your local cache might give you mixed results.
If you have a look at my page http://www.head4space.com and look at the URL for any of the images you will see that they are now being server by the CDN.