The widget settings include 2 different options: one for the widget title, the other for the Facebook Page URL itself:
http://i.wpne.ws/QXyc
The output of the Like Box will depend on your theme, and on the options you checked in the widget settings.
The widget title, however, does indeed include a link to the Page. It doesn't have to look like a link though; you can control the look of that title with CSS. If you let me know your site URL I'd be happy to have a look.
where I expect the widget to be, is a white square
Could you check your Facebook Page settings, and make sure there are no country or age restrictions that may also restrict access to your Page information outside of Facebook?