Just had one of these installed at home. I think they're supposed to work out of the box, but this one didn't. I had the same symptoms as you. I guess your problem is solved, so I'm writing this for anyone else who is interested.
It took about 10 minutes of fiddling and reading the instructions. Here's what I did, with some info from the instructions (for those that don't have them):
The problem was that the wall mounted receiver and the thermostat weren't paired. Having taken off the grey backing plates from the thermostat (screw on the bottom) I pressed the large SET button on the wall unit (orange light flashes on the top LED, "This puts the receiver into learn mode") and then immediately press the learn button on the back of the thermostat. I'm not sure if it's slow or if it just took a few times to get it right (I did this about 5 times), but when I made the thermostat call for heat (indicated by the black triangle on the right of the screen) I got a green top LED on the wall unit ("a good signal is indicated by the LED flashing Green then solid; No signal is indicated by the LED flashing red then solid"). I could tell it was working because when I switched the thermostat from off to on it made a clicking noise. With the boiler connected the wall box a second orange LED (on the right) came on with the click indicating that the relay was on. (Unless you're using the TEST button, you need to make sure that the target temperature is higher than the actual temp - turn the knob to raise the temp).
Pressing the TEST button on the thermostat is supposed to trigger demand for heat, but mine didn't seem to for more than a fraction of a second.
Initially the wall box receiver wasn't connected to the boiler properly, so I got the click, but no orange LED on the right of the wall box, and no boiler action. The box seems to be a remote controlled switch, switching between the top (L1) and bottom (L2) terminals. For my boiler (Ferroli Optimax), the control wires had to be attached to the middle (LX=common) and top (L1) terminals. I guess L2 is connected when L1 is not.
Pressing the reset button on the wallbox receiver for 4 seconds erases the pairing with the thermostat, and the procedure of pressing SET and LEARN on the two units has to be repeated.
The technical helpline number on the instructions is 0870 850 0184, for anyone who needs it.
Albert, August 2008