I'm technically an official Ransai guy, so consider me an internet zombie of sorts.
It sounds like some wires may have come loose in shipping. The controller might actually have lights, but they've come unwired. When you get a chance, open it up and check to see if there's any loose wires. If they are, look at the other switches as a reference to get an idea of where the disconnected wire should go, then reconnect it. That should fix the start button and if there's lights it might fix that as well.
An easy way to check for lights is to see how many wires are attached to each switch. If there's two on each, I can pretty much guarantee there's no lights. If there's three, there's probably lights. If there's no AC jack or battery clips, however, you're going to need to add one of those to it, which isn't incredibly hard to do, and I can run you through what you'd need to do to get that up and running.
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