Turns out that yes, it was just a misplaced vacuum hose. You can hear it pulling in and I now get confirmation on the dashboard. The system is positive feedback, so if the light is on the gear is in the correct location. Woo!

I also drove it forwards and backwards, so that... stuff... is working too.  Still haven’t been able to engage Super Low, so I need to see what the lockout for that looks like.  I assume it is also vacuum operated?