I am using the latest Directory plugin with eleven40 theme by StudioPress on WordPress 3.3.2. I do not have any plugins other than Directory.
If I use anything but the Default Permalink structure, my Listing's page breaks. When using the Default Permalink Structure, the Listings page shows the directory categories. But when using pretty permalinks (http://nytristatedeals.com/listings/) the page show a broken listing (see screenshot attached) the categories no longer show up.