I ordered my meter from Amazon as well. My box had a color flyer in the bottom that was titled “Wake Up The Mooshimeter” and a picture of the test leads touched together.
I would install fresh batteries and make 100% sure they are in the correct direction, the battery holder in the meter is not very intuitive.
Your meter may not have properly updated the meter firmware and it may be stuck in a bootloader mode.
See if the LED will work with fresh batteries installed PROPERLY. It is EASY to get one or both batteries installed backwards.