The lights on the Nocturn will only turn on when the Automap Server is launched. Please run the latest Nocturn installer first, which can be downloaded here.
Then launch the Automap Server. It is located in:
PC: Start/All Programs/Novation/Automap Universal/Launch Server
Once the Automap Server is launched and the Nocturn is detected, the green lights around the dial will light.
Quitting the Automap Server in Windows' System Tray or the dock on a Mac will cause the lights to turn off.
Also note that the Nocturn will not appear as a Midi device on both Mac and PC. It can only be used in conjunction with the Automap Server.