You just take and RCA cable and connect it to the LFE in or the left input. You can use either the left of right output of the CD player for this test. You should hear sound from the sub, if not it is dead despite the light being on.
If the sub works, go to your manual speaker set up menu. Make sure the sub us selected in the set up menu. In other world click sub yes.
Now play the test tones manually. If there is no sound from the sub the receiver is faulty. The fact the sub is new cuts no ice with me. There are receivers aplenty with problems right out of the box.
Since this is a Denon, it may have an issue that some Denon/Marantz units have. They send no sound to the sub if you are only using two channel. I have a Marantz unit that has that problem. Marantz admit to the bug but have never fixed it. Their excuse is lack of funds and staff to devote to the problem. Now they have been sold things might improve. The work around is to use at least 3.1. If you add a speaker or speakers in addition to the left and right then the sub works.