Ok, this one has me stumped. I deconstructed and recompiled the epub, then regenerated the .mobi file several times.
The stylesheet is done correctly. The font file is there. It has all the glyphs needed. I even changed the embedding rights to 0 (all) just to make sure that wasn't the issue (I don't think the Kindle pays attention to the font licensing bits in a font file, but I wanted to be sure).
The stylesheet is being processed (because the small caps attribute is actually working, even if the font isn't). I wonder if there is something about the process used for subsetting that is making the Kindle software reject the font. I've used subsetted fonts before and they've worked.