Gregg, nest boxes do not always work with every species (or the majority of them as your put it) even if "set up properly" as you put it.

In the same way the "MAJORITY" of Lace monitors would be comfortable with a nestbox to simulate the conditions of an active termite mound, other species of monitor would be comfortable using an alternative such as deep substrate.

Certain species just ignore nest boxes and try to find a suitable spot in the substrate and if they can't find that they will either reabsorb or splash them out on top of the substrate.