do all of the LED's seem to work? Can you see the blue when in normal operating mode? Just wondering if maybe you have a bad LED that you can't see the set-up entry.

My instructions say to press and hold for 3 seconds. Also, how hard are you pressing the set button? I have had some Rx's that require quite a bit of pressure on the button to get it to bind. Perhaps a little extra pressure would help make the connection, within reason of course. Other than that, not sure what help can be offered here.