What SMTP Port are you using? Some hosting providers block Port 25, by default.
Also, check out this blurb from the FAQs:
My plugin still sends mail via the mail() function
If other plugins you're using are not coded to use the wp_mail() function but instead call PHP's mail() function directly, they will bypass the settings of this plugin. Normally, you can edit the other plugins and simply replace the mail( calls with wp_mail( (just adding wp_ in front) and this will work. I've tested this on a couple of plugins and it works, but it may not work on all plugins.
I'm not familiar with the underlying code in Contact Form 7. Perhaps it's using mail(), as opposed to wp_mail().