I took the rod out of the press as suggested by dacaur, put in in a vise, and was able to turn the index square with a wrench. It took more torque than I ever could have applied with my hand twisting the turret. Two trys was all it took to be turning into the ball detent.
From the replies it seems that Lee typically sends these out without properly indexing them. This is my first Lee press, chosen from advice recieved on this forum to replace my trusty RCBS Jr. I find the instructions to be lacking on the Lee product, but do expect from the many recommendations that it will work just fine once I figure out the fundamentals that should have been in the set up instructions. Such as: don't install the shell holder as instructed before you have installed the primer arm. You'll never succeed otherwise. Such a simple thing took me a while to figure out why I couldn't get it in, and there is no guidance on that. Next I'll figure out what to do with the other plactic thingy that I don't know what it is yet
Thank you to all