When you first start it, you may have to keep priming it for a while. I typically fill the filter box with water, then plug it in and then keep pouring water over the impellor area until it manages to clear the air that is caught in the intake tubes. It will change the sound it makes and take off like it should - just keep priming.
If that does not work then:
Sometimes the intake tube needs to be pulled up just a tad - to let the impellor settle into place properly. Check to see - push it down firmly into place. If the water does not go well, then ease the intake tube (impellor assembly) upwards just a smidge and it may take off.
Check to see if you have an air feature that is letting bubbles be sucked into the intake - that can break the flow and cause the pump to fail to pump.
Check to see that you have the water level high enough that it covers the joints in the intake tube. They may fit nicely, but they are not water/air tight. If the water level is below a joint, it will not start right.
Sometimes they can be finicky - but generally break in nicely. I have had one or two that are a bit touchy until I get the feel of them, the majority are carefree - even self-priming - and I had one that was made wrong and needed to be replaced.
(As mentioned above - occasionally you may find some mold flashing in various places that causes the filter to be less efficiant or not work properly. Simply carve the extra plastic off.)