This page explains the different settings for different connection types very well.
I looked back in the book and noticed that it was clearly stated in step 4 on page 149 to use "ADO.NET", that was my problem!
The default is OLEDB and so I didn't pay attention.
I wonder if many of you did not miss the same thing because many of your solutions involving changing to OLEDB but you don't have to.
The original example in the book works fine.
SQLStatement: EXEC usp_GetConfigParamValue 'MYAPP', 'MYPARM', 'STRING', @MYVALUE OUTPUT
Under Parameter Mapping:
Data Type: String
Parameter Name: MyValue
Parameter Size: -1
And that is it.