It could be a firmware issue. You can download the Shimano software on to a PC, if you have one, and it will do the update for you. I had the same problem once, on a non-Alfine di2 setup, and once all the firmware was updated everything worked.
Sorry I didn't make it clear that the set I bought didn't actually come with a charger. I guess I should get one anyway as I'll need one sooner or later... I guess I just wanted to know if this thing was hosed or not before spending even more money on it!
It could be a firmware issue. You can download the Shimano software on to a PC, if you have one, and it will do the update for you. I had the same problem once, on a non-Alfine di2 setup, and once all the firmware was updated everything worked.