I just installed mine. I thought mine was messed up at first but here's what I did to get it running. I did a test run with a 20 lb tank.
I first loosened the gas line where it enters the heater and kept it loose until some propane had vented out so I knew that the lines were full of propane.
Then, I connected everything and turned the thermostat on. It turned on and made some clicks but no flame. I noticed that I was getting a double flash on the LED. I turned the thermostat to off and let it sit until the fans shut off. I then turned the thermostat to call for heat again.
It took about 5 tries before the gas had made it through the lines and fired up. Works fine now.
Wire yours correctly and then turn on and off several times but when you turn it off, wait till all the fans shut off (few mins) and then turn it back on.
Your problem sounds just like mine.