There are spring-loaded bearings in the shellplates that should be settling firmly into the detents in the base when indexed (Did you lightly grease them?)
If it's not indexing correctly, it should be easy for you to see that- the shellplate won't "drop" in place.
Indexing a new press can be testy, I called Hornady and they were VERY helpful. The guy I spoke with very patiently asked me what the press was doing, and step-by-step (1/4 turn here, 1/4 turn there...) adjusted the pawls until it was hitting just right. Once I got mine set up, it hasn't shifted in two years...
I'd save the potential frustration, and give Hornady a call. They'll either get you up and running, or if they determine you do have a problem with the press, they'll replace it for you. They have great CS.