Check if the server is throwing a 5566 error, in which case you may find the permissions (either the site or of the user profile service ) are not allowing it.
I was having a similar problem then I changed my datasource to be a subsite URL, so instead of
http://intranet/_vti_bin/UserProfileService.asmx?WSDL
it was
http://intranet/IT/_vti_bin/UserProfileService.asmx?WSDL
also
http://www.infopathdev.com/forums/t/7676.aspx
last resort; under central admin , service applications, add yourself to administrators and permissions for the User Profile Service Application and try again