Did you validate your SGE configuration? Do you have the SGE-specific submit files on the path? These submit function files are required to submit SGE commands to the queueing system.
We have an SGE scheduler with MATLAB DCS which works pretty well.
THe files for R2012a are:
SGEClusterInfo.m getJobStateFcn.m
communicatingJobWrapper.sh getRemoteConnection.m
communicatingSubmitFcn.m getSubmitString.m
createSubmitScript.m independentJobWrapper.sh
deleteJobFcn.m independentSubmitFcn.m
extractJobId.m
The files for R2011 b and older are
createSubmitScript.m
destroyJobFcn.m
distibsubmit.m
distributedJobWrapper.sh
distributedSubmitFcn.m
extractJobId.m
SGEClusterInfo.m
submitjob.m
getJobStateFcn.m
getRemoteConnection.m
getSubmitString.m
parallelJobWrapper.sh
parallelSubmitFcn.m
These files should be availabel from the Mathworks.. Please follow the readme that come along with these files as you will have to edit some parts of these files to suit your SGE cluster queueing system..
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