What is the check you are running exactly?
By the looks of it, possibly
/usr/bin/nagios -v /etc/nagios/nagios.cfg
Check the way you ran ./configure when you compiled nagios. Nagios might be expecting all cfg files to be in /usr/local/nagios/etc.
By the looks of your file locations, this is the RPM build. I can't help much with that, since a RPM build, might have lots wrong with it, since it is not compiled by YOU. If this is the case, compile nagios yourself and have fun doing so. I know I learned alot by doing this.