Is it the TLE5...? I don't have one but I read somewhere that if it doesn't light up, you must reverse the pins. Easy thing to try. Hope it works.
They are regulated from what I've read, but should still produce some light even when your batteries are very low. Are your batteries in backwards? These things don't have reverse polarity protection and will die if the polarity is wrong. If you have another light; try installing it in it.
The mag style reflectors are either camless ( many turns to focus) and cammed ( 1/2 turn tight spot to flood) . The camless are usually a smaller diameter internally in an effort to maximize throw and that may cause problems grounding out on the sink/mount piece, hopefully someone more familiar with the cree emmiters can chime in.
You may not have it screwed down far enough, if you read the big thread, that was what a bunch of people ran into. When I installed mine, I was very careful to make sure it was threaded on correctly. I have a feeling that it is very easy to cross thread it.
You could also try it outside the Mag, just temporarily like tape the cells together, and touch a wire to the negative end of the bunch and the outside of the PR base, and a wire from the positive end to the very end of the PR base. That should light up if it's working, just don't look directly at it, it's really bright...
Either that, or it's possible you got a defective one. You could either call Terralux, or whoever you got it from and get an RMA.