You may be aware, but I have to start at the beginning:
Manual mode does not select a specific gear, just your max gear. For example, if you select 3 in manual mode, the transmission will automatically shift between gears 1, 2, 3 depending on what it thinks is best, but will never use 4, 5 or 6. Similarly if you select M5, the transmission will use 1-5 and never 6.
When you shift to M, it will select whatever gear it is currently in as your max. Then you'd have to press the up button on the gear selector to go higher or lower.
You should however see the 'M' number change when you use the up/down buttons. This does not mean that is what gear you are in, again its just the max gear.
Having said all of that, when you select M and press the up/down buttons do you see the instrument cluster go from M2, to M3, to M4 or whatever?
Sorry if this was obvious, just wanted to clarify that it isn't like a "slap-shift" where you get to choose exactly what gear it uses, just the highest gear that the TCM gets to choose. That's how I figured it worked when I first bought it until I used it a few times and then looked it up.