To use the sequencers you press the main button associated with them, i.e. the Sequencer 1, 2 and Drums buttons. Pressing the Controller button won't toggle control mode on and off, it just selects that mode, even if you are already in that mode. If nothing happen when you do that, you better take it back to the store and ask to have an exchange. But before doing that, make sure you are not just missing something. Plug it into MCC and check the user map settings are set to a simple chromatic scale (C-C with all notes in between as they should be on a standard piano). After all that, if things are still not right, try to upload the latest firmware. Go to the support page for the BSP on the Arturia website. Locate and download the latest BSP firmware (2.0.1 I think it is, but it'll be the one at the top of the firmware list). Open MCC with your BSP connected, click the firmware button and you will be asked if you want to update the firmware. Click update then point the file browser to the .led file you downloaded. It'll tell you to turn off your BSP then turn it back on again and click "okay". Do all that and sit for a minute or so. The BSP will restart and MCC will reconnect to your BSP. If you have any patterned in the BSP you want to keep before you do the update, back them up BEFORE you update, but it sounds as though you haven't got to that stage yet....
So try all that, get back to us (the forum) with whether or not it worked, and if not let us know what you did and what happened after. Worst comes to worst, it's a trip back to the store, but hopefully it can get sorted without having to take it back.