You Reply: I don't have one of his boards, so I hope Stanley will pipe in. I'm just a bystander trying to help. Of course it could be defective, but I imagine he tests each one. Are you being careful not to blow the chips, not plugging things together with power on?
What I would try is to first test the adapter with a terminal and eliminate any 'Duino software. It still kind of sounds like a baud rate issue. You probably don't have a glass teletype that would (moreover) work at TTL instead of RS-232 levels. So how are you "sending it" AT or Z? Where are you seeing the "welcome message"?
You could open a terminal on the PC to a USB virtual COM, like using the Development IDE, and turn the NetDuino into a transparent pass-through by coding up a little raw mode (send/receive character by character) loop that doesn't use anything but serial calls on the pins the board is connected to. That would be a useful setup to learn how to talk to the translator chip. If 38400 doesn't work, you could change the baud rate on the PC terminal and in the initialization of your little passthrough app, and see if you can find a setting that works? Is that what you're already doing?
Maybe if you have one of those USB to TTL-Serial boardlets like are used for loading code onto the little Mini-Pros that lack a USB jack, you could try to use that instead of programming the 'Duino to do pass-through, just connecting Ground, TX and RX?