Currently available MegaGlest gameservers are listed on Play.MG.
The data dir was set incorrectly. The 0.3.2 set up has the executables in the "bin" folder and the data in the "share" folder. Moving the contents of the bin directory into share\glestae (as in the classic glest structure) solved the problem.
The other reason could be config directory or data directory isn't set right for you (although it should be using your home directory for config and same directory as exe for data).
If there's no problem with current installer i would like to leave it as it is. Makes it easier in cmake/cpack because we share the same install routines on all platforms.