Thanks, box293 for your efforts. No luck with quoting the -s password.
I took a look at the network (Wireshark) and found that all requests from the Nagios server sent to the VM/Win7 client just disappeared. No signs of any errors or replies. Seems to be some kind of low-level network problem with my setup, probably somewhere in the interface between VMware player and the Win7/NSclient++, as only ports 5666 and 12489 are affected.
I think i'll try to find some other solution and close this topic for now.
/Christer