Fenix products have good QC and are rarely DOA. Can you test the headlamp with the steps below? They might get the light to work right away.
1. Unscrew the battery cap and remove the battery. The factory usually puts a white insulating disc between the battery and the headlamp. Make sure it is removed before charging/using the lamp.
2. Install the battery with its positive button top inside the tube. Make sure the battery cap is fully tightened. The threads on a new lamp can be very tight. We had a few lamps returned because the caps were loose. When you feel it reaches the end, back the cap off a little and gives it one more twist.
3. Press and hold the switch for 0.5-1 second to turn on the light.
Does the headlamp work properly now?