Guys, I figured it out this weekend. Pulled the head unit out and there weren't any obvious wires unplugged (wire harness, radio antenna, hdmi to TV are the only three things plugged into the back of the unit). So I went looking to see the back of the sub. For me they installed it so that I can't get to the "business end" of the sub from the inside (pulling out those two drawers under the wardrobe). I had to remove the white wood veneer (and the trim pieces that hold it in) in the largest of the storage compartments on the slide out to access the subwoofer. Once I had that open (took about 10 minutes being very careful not to snap it in half as it's hard to get out the compartment's opening) it was plain to see what my issue was, the installer had the volume setting all the way at zero. Some of you have commented that you have to turn the bass down a lot on the Jensen unit to make it tolerable, well if you open this up you can change it's output. I've got two pictures here, first to show you where it's located, second one is the absolute maximum I could set the levels at before it sounded distorted or was just obnoxious (note my bass level on the head unit was set at 4 and I was playing a DVD).
By the way, I can only seem to get the subwoofer to work with the DVD, wouldn't make any sound after these changes using the Radio or Bluetooth. If you have a different experience please let me know.
All in all it was a pretty easy job.