If it’s not moving, that may indicate some kind of damage in shipping. The first thing to check is to make sure that the pen holder can be lifted freely, and that it falls again under its own weight. If it does not, then the pen lift motor will not be able to move it either.
Second, double check that the connector is in the correct three pins and correctly oriented.
Third, try disconnecting the motor connector, and see if movement is working OK otherwise. If it is not, then the problem may be with the power supply.