In addition to having to hold the button down for a couple of seconds there is possibility of another issue. I purchased one of these lanterns for my daughter who lives in another state and she could not get her lantern to turn on the first time...........so we had a little discussion over the phone. I also told her about the plastic sheet which she said she had removed. What her problem was that she did not have the cap screwed on all the way.
Without a proper connection between the battery or the tail cap, you can still power the lantern on via the USB port. See if the lantern works that way. That at least proves the lantern works. If it does, then its a connection issue. Likely the cap just isn't screwed on all the way. Those caps are kind of stiff. This post is a bit old, but if you ever did get things figured out, let us know.