Did you use sealant on the sensor threads? Try putting it in "clean". It uses NPT threads which should seal fine without sealant (tape, pipe dope, RTV, whatever). Sealants can cause issues with the ground.
Check the wire as mentioned above- if you ground it briefly, the gauge should move. That confirms that you're getting current to the sensor. Then check continuity from the sensor body to the engine block. If no continuity, pull the sensor and clean the threads and reinstall.
