Try this. Look in your web.config for the commented out line <identity impersonate="true" />. Uncomment that line and try it. If that doesn't work then add a userName="domain\username" password="password" to that line. I'm surprised that it's not working as you got an all okay on the Authentication page and, in my experience, you only need to uncomment <identity impersonate.... /> when it doesn't work.

I saw some similar problems when the .dll corresponding to the authentication provider was not there. It could happen in the following scenarios:

1) You upgraded from an earlier version where the TAM's authentication module was installed. After removing the TAM's module, the .dll is gone.

2) Something happens when you are upgrading and copying the new files over your current DNN instance.

I suggest you to copy all /bin contents from your  dnn ZIP package to your DNN installation again. (Only the .dll files)