I have not really had much trouble with it... the quick connect is a bit stubborn and I would make sure it is all the way on as most have a shut-off feature when disconnected.
And of course you *did* already turn the shut off lever into the on position so that cannot be a problem
Be forewarned that it is NOT the world's greatest BBQ :-p In fact it run a bit on the cool side except in specific spots that run hot. But I have to admit it is convenient and kinda cool to hang it on the side and cook away.