I just launched a fresh copy and, before updating, investigated it.
First of all, the Getting Started documentation applied to an earlier iteration of the image. Now the commercial repo and sysadmin module are preinstalled. So I should update that. 
I launched the image and aborted firewall setup at first. When I checked, fail2ban was running fine. Once I went back and configured the firewall, I saw the same thing you experienced. I’m not sure what’s going on there. I went to ssh and ran all the standard updates:
yum update
fwconsole ma upgradeall
fwconsole chown
fwconsole r
and finally
fwconsole restart since the asterisk package was updated.
And now fail2ban is working fine.