The same thing happened to me.
I bought a Compucase that came with a HEC power supply, but I also bought a new much more powerful Enermax power supply. I connected the Enermax to the case, plugged it in and tuned it on. Nothing happened. The fans didn't move. I then thought something was wrong with it so tried the HEC and the same, nothing happens.
After I connected my motherboard everything works great.
The thing with power supply is, they have a sensor so as long as they don't feel a motherboard connected to them they don't work.
Try it again after you connect a motherboard to it.