Did you run csf -e? That's all you need for CSF to run on startup. If it's not able to run on startup, your VPS may not have the necessary resources to do so. Are you on VZ? If so, try cat /proc/user_beancounters
If you run into further problems, in the CSF config there's an option for "Monolithic kernel", I think it's something like "MONOLITHIC_KERNEL". Set that to one and give it a shot. It's a fix that works on monolithic kernels and sometimes fixes up CSF on a VPS depending on how your provider has it configured.