Dont mess with troubleshooting a “New” drive to you. get back to WD and report that the RMA’d drive is not working. you have done troubleshooting and are requesting a replacement. the more troubleshooting and time you spend getting it to work the smaller the window is to return it.
The button on the back is to test the power supply. Sounds like you have power but maybe there is still something wrong. When you plug in power is there any flashing lights / patterns on the power button in the front. If yes these flashing patterns are there to tell you if your ram has a bad stick or your motherboard is having issues. google your computer model and diagnostic light pattern and watch to see what color and pattern it is.
check your thermals, test your ram with memtest. try running cinebech (cpu heavy) and checking for crashes or a gpu benchmark like UNIGINE heaven to see if stressing individual components makes anything happen. if you still cant figure out what is wrong try a new power supply. a failing power supply will have you looking in all the wrong places. sometimes replacing it with a new unit solves everything.