The symptoms you describe are, as you suspect, indicative of a lack of power. You have set the power switch to 'ext' (or whatever it's marked!)?
You have got the power supply plugged into the shield haven't you? In that case it should work when the switch is the the 'Ext' position.On mine the other position is marked 'Xduino'.
Well you said it didn't work at all when it was set to 'Ext', and if that is the case you need to investigate that. There should be some sign of life. What voltage range is recommended for the external supply?
If you connect the power supply to the shield, with the power selection switch set to 'ext', does anything happen?