Check the wires you've connected to it (with a proper voltage tester, safety first). Are they live? Do they go on and off when the lights go on and off?
An electrician did check it before I replaced the fan and said it was all live, but I don't have a voltmeter to check myself
@TooTallTim started
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Check the wires you've connected to it (with a proper voltage tester, safety first). Are they live? Do they go on and off when the lights go on and off?