This might sound like a daft question, but how quickly was the LED flashing?
When you first set the alarm, the LED flashes so that it is 'on' for about the same length of time as it is 'off' each time it flashes. If you open the door during this time, the alarm will not sound. After 10 seconds or so, the LED flashing changes so that it is 'off' for much longer than it is 'on' each time. Once it is in this state, the alarm should sound if the door is opened.