I'd be certain that it is not already in its outermost position, in other words, it inadvertenly came from the factory/distributor with the switch illuminated. In this case the battery would have drained and there would be no illumination. Try to push it "in" and at the same time feel and listen for a distinct "click".
I had problems with my 3.5 - 15 in which the switch worked loose and it would occasionally pop out and illuminate the scope.
Nightforce has excellent customer service. They will take care of this so don't fret over it.
Good luck,
Joe