Make sure that you use the Configuarion Tool that ships with Enterprise Library to define your default connection. The markup this puts in the config file is different than you would normally use, and I don't think the database section of Enterprise Library can find it without that markup.
I am looking into this now but it should be noted that when I use the DatabaseFactory.CreateDatabase() method with the 'default' name passed it is able to create a database object without error. It is only when I use the 0 argument method that it has problems. I will Google the Config Manager and see if that offers any solutions.