When you install the guide for the primer slide, be sure that the slide goes back far enough to let primers drop into the hole. There is some play in the adjustment at the top of the guide rod.
Did you get the older model with the eject wire, or the new model with the eject in the base?
Did you get the powder through expander model?
These appear a bit daunting, but go together pretty easily. If at any time while operating the press you run into stiff resistance, STOP, and figure out what part you are about to break. This is a lesson I learned from experience.
I load a lot of lead .45 SWC. Set your expander up so there is just a slight bell in the case. I have the older model with the ejector wire, but I like the Lee factory crimp die, so I removed the wire.