Thanks! Got your message.
I was able to review your site, and found the reason for your lack of caching.
Comet Cache was active, and I could see its message at the bottom of the page's source code.
When logged in, it wasn't caching, because you have logged-in caching disabled.
And when logged out, instead of caching, it said s2Member prevented the page from being cached. This happens when there's dynamic content on the page, e.g. an s2Member shortcode is used there.
I couldn't find any in the pages I tried, and all were not being cached for the above reason. Then I thought maybe you added it to the theme or navigation, and found it...
You had added the s2Eot shortcode to the navigation, under WP Admin > Appearance > Widgets > Header 1 > Text: Membership Expiration.
So nothing was cached ever because that shortcode was used on every page.
I removed the brackets, so that the shortcode would not work, and tested loading the page in a separate window while logged out, and this time the page was cached.
I left the shortcode disabled, as I explained above, so you get caching happening as you wanted.
I suggest that you add that s2Eot to the navigation only for logged in users. You could use a PHP condition to check that, don't use s2If or you'll have the same issue. I think a PHP condition would be fine, though. And if that doesn't work, the just put it in their Account page, instead of the navigation.
I hope that helps!