If opening up your device for the first time, you'll see a plastic battery tab sticking out of the battery compartment - remove this tab to activate the batteries. If you still don't the LED light up after that, make sure that the batteries are oriented correctly, or try fresh ones in case the original batteries are defective or depleted in transit. Batteries can also weaken if stored in low temperatures for long periods of time.
If there's no LED activity no matter what you try, give hard reset a try. This type of reset can also be useful if you see LED activity but the sensor is unresponsive in other ways. If you're unable to include it, exclude it, or if it seems frozen in your Z-Wave system's interface, reset can help.
If the sensor is still unresponsive after trying all the above, please let us know! Let's figure this out together.