Are you making sure to align the stripe on the diode with the silkscreen? That is the only thing I can think of as they were pretty simple to build and mine worked first time out.
I'm not sure on which end should get the plug as I just put mine together and it worked. I didn't even think to look if there was an in / out side on the board. Maybe I just got lucky with mine.
You can try building pigtails like in my prior post so you don't have to cut your strings except to reverse polarity. Then you can plung in multiple light strings to the single pigtail.
Hope that helps. Maybe someone else can jump in on whether there is an input output side.
Mark
This is an easier way to do it. The FWC has two connection holes that are marked with "~", these are the ones for the AC end of the board and are theoretically interchangeable. On the other end you have "+" and "-", the "+" needs to go to the anode side of the LED. Usually, this is the side that the wire goes into from the plug, and the other wire goes to the far end of the section. That wire connects to the cathode and should be plugged into the "-" hole in the FWC.