You have the superuser app, but you still have S-ON? Did you happen to accidentally change any options in unrevoked (reflash_package, executed from your computer)? You have the ability to not flash unrevoked-forever (which gives S-OFF), but only root your ROM, if you want. I can't think of any other reason why that would have happened, at least on the current version of unrevoked. It happened pretty often on the previous version. Anyway, do this:
1) Install the terminal emulator from the market, open it, and type "su" without quotes, then enter. If the prompt changes from $ to #, then your ROM is rooted. If it gives you a permission denied error, then it's not. This is pretty much the ultimate test.
2) Even if your ROM is rooted, S-ON means that nand is locked. That won't prevent you from running root apps, though. You only need a rooted ROM for that. With nand locked, you won't be able to make changes to locked partitions (/system, for example). You won't be able to permanently remove bloatware (though it can be frozen) or flash certain things.
3) If you're going to go to S-OFF, you're going to need a custom recovery. It's hard to say where exactly unrevoked failed, so just do this - turn the phone off, then turn it back on while pressing and holding volume down. From there, select the recovery option. The phone will reboot into recovery. If you see that you have clockwork, then you need to flash unrevoked-forever to get S-OFF. You can get it
here. Once you download it, put it on the root of your sdcard (while booted up), reboot back into recovery, select the option to flash/install a zip, select the unrevoked-forever zip, let it flash, then reboot back into hboot. You should then see that you have S-OFF.
In the event that you *don't* have recovery, you have no choice but to rerun unrevoked. It's easy to get S-OFF with a custom recovery, and it's easy to get a custom recovery with S-OFF, but you'll need unrevoked to get either one of them if you only have S-ON and no custom recovery. A rooted ROM will do you no good in that situation (in terms of getting S-OFF).