That doesn't sound good... lets take a it a step further.
Double check battery test only this time use one of your known good primary cells. Connect 2-3 inch long wire segments onto the cell, one to the + and a SEPARATE one to the -. I use masking tape to secure the wires to the battery, and just press the wires onto the cell by hand.
With the other hand touch the + battery wire to the + contact spring, while touching the - battery wire directly onto the brass pill. It should light right up.
If not, remove the reflector from the brass pill and repeat the procedure. There is supposed to be a white insulator on the back of the reflector. If that piece is missing and the LED wires short to the reflector it will not light.
I go into a little detail in this vid.
http://www.youtube.com/watch?v=uY3bfuxayVw
If you still cant get the pill to light up then you have a bum module, you'll need to use their "Customer Service Express" and open an RMA case. Take pictures, follow the procedure and mail it back (USPS with CONFIRMATION # !!) to the address provided by the case worker.
I had to do this recently for a wrong item shipped, it took ~20 days extra but they came through.