Hello,
I have the same problem with my arduino dues. I ordered one due several weeks ago and that one works fine with 12V external Power supply. The dues that I ordered last week do not accept the 12V external power. I recoqnised that on the newer boards one electronic component near the 12V-plug is different to the older board. As described by r-wilder, the Vin-PIN gets 12V but all LEDs stay dark.
That suggests, that maybe all newer boards have this bug.
Dues were ordered at Conrad.
EDIT: At the 5V-PIN there are only 1.24 V
and on the 3.3 V-PIN only 0.45 V
Any idea?