100% - the very first thing (once all mounted) is that you have to set it to the radio. When you do that, it will be in the default mode - which is mode 1 "modified".
You need to be doing steps 3,4 on page 2 of the manual - put it into set mode, set neutral, set full throttle, set full brake : Or the slightly more detailed instructions of step 2 on page 4.
http://www.hobbywing.com/uploadfiles...W-SM510ENG.pdf
If you aren't setting it to the radio, then it's fair to expect it not to do anything.
You only need the setting box to change settings, not to set it to radio and make it work.