Here is a response from Slingmedia about slingbox support on the 5800xm:
Your phone, the Nokia 5800 is not a tested, supported model for use with the Sling Player Mobile software. However, a MASSIVE update is currently in development which will include support for additional devices. There is no word yet as to when it will be released, nor exactly what will be included.
Nonetheless, do contact support again whenever you may require assistance.