I have encountered the same issue, if I solve it I will post the answer here.
OK, start CodeXL from the terminal, that way you will be able to see some error messages.
In my case, it was missing libgtkglext-x11-1.0.so.0
so I did sudo apt-get install libgtkglext1-dev
then restarted CodeXL and the teapot example runs now.
I'm on Ubuntu 12.04, A10-6800K APU