You may need to return it.
Sometimes you need to press and hold the PS button in order for it to link up. I stop using mine as I had to do this several times to get it to link.
Mine is really iffy in the same way. Sometimes it connects right up, other times I have to hold, or press the button like 50 times, and sometimes it doesn't work but if I wait 5 minutes and press the button again, it lights right up.