Maybe they left the power cord inside the box
Here's a list of things to think about; I imagine you have already tried most :
1. If you plug the Sunfire in does it work ?
2. Assuming 1 isn't easy, can you try setting the mains to Small to ensure that LF is going to the sub no matter what content you are playing ?
3. Sometimes the signal from the amp isn't enough to trigger the sub's auto-on/off logic... try raising the sub level a bit in the control panel or just crank the volume control up.
4. Do you hear any "hum" when you plug in the RCA cable ?
5. Where is the sub gain/level set ? Turning it up 1/4 turn from "all the way down" is usually right.
I don't like that rattle. Are there any other signs of shipping damage ?