It might be because of an extra power connector you need to plug into the motherboard. I made that mistake, and I had the same result.
Look on the motherboard for a 12v connector, and find on the power supply a lead to plug into it. Its like a block type connector.
It helps power up the PC.
The reason you may have 2, is for high powered motherboards that may need 2 12V connectors. Try plugging the CPU1 one into the 12V supply on the motherboard if it has one.