Is your memory rated for 2:3:3 at 333MHz DDR? Or 2.5:3:3?
This board runs at 135MHz FSB when set to 133MHz. Not sure what it runs at if you set it to 134MHz

(just an FYI)
At 137MHz your AGP and PCI busses are only going to be a couple MHz higher than spec, so I doubt that's causing a problem.
That's the normal multiplier for an XP 2200+. You didn't specify, but I presume that's what you have from this info?
To unlock an XP 2200+ I recommend buying one of the unlocking kits for about 15 bucks and drawing an arc around the laser etched pit to connect the last two points on the L3 bridge. This will make multipliers of 5 or 5.5 (I forget) through 12.5 available, which is all you need and all you can easily do on these processors because of some other changes they made. There's no easy way to make the entire range of multipliers available through software.
You're right though - it should have claimed it detected a new CPU and booted up to the BIOS screen with safe settings. You were never able to get back to the BIOS screen after unlocking the CPU, right?
Resetting the BIOS is a shot at getting things to work - it shouldn't be necessary, but who knows what's going on here...?
The most likely issues are:
Physical damage from the unlocking procedure and/or removing / installing the HSF.
or something wrong with the unlocking method you used. What exactly did you do? Which contacts on the L1 / L3 or other (L8? L10? Did you try and change the core voltage?) bridges did you connect? Were you VERY careful not to get anything conductive down into the laser cut pits between the contacts?