When you perform the Factory Default Rese, continue to hold the reset button in for an additional 9-10 seconds after you plug the Express back in to power to see that will allow AirPort Utility to read the settings on the AirPort Express.
If no luck, the Express has a problem.
Try temporarily connecting an Ethernet cable from your Mac to the AirPort Express to see if you can configure the Express that way. if this works, then you can disconnect the Ethernet cable once the Express has been configured.
If still no luck, the Express will need to be replaced.