The blades and propulsion turn on separately. Are you sure that the blade motor is running?
For the blade to spin the handle must be fully extended and set in one of the 3 operating positions. Press and hold the safety key down while pulling the full bar (not the smaller self propel trigger). You should hear the blade spin up without the mower moving.
There have been several reports of new users running just the self propel motor without the blade running. The blade is much louder, but if you've never heard it before then I guess it isn't obvious.