[Al Skierkiewicz]

I am sure you have checked this but the Team LED jacks have five pins. Following the Tips and Guidelines be sure that "The PWM cable then plugs into one of the four Team Light 5–pin jacks on the RC with the Black wire on the Blk pin. Any excess PWM cabling needs to be secured into a harness and anchored to the chassis." The pins are extremely small and it's easy to be one pin off.
Another possibility is the solid state relay connections are touchy and it is easy to insert a wire so that the insulation is actually under the clamp when you tighten the hardware or the wire may have missed the connection altogether. Try removing the wires and reattaching both input and output. Without the LED attached you should be able to use a voltmeter to look at the output side of the relay and see +5 volts.