Fingerprint sensor via arduino mega

Hi all,
This is the capacitive sensor i got:

from the above site:

My connection:
Grd wire to Ground on board
RX to pin 16
TX to pin 17
3.3V wire to 3.3v on board

The other 2 wires are left hanging.

I am getting "Did not find fingerprint sensor :("

May I ask where I have gone wrong? Thank you

This is my code:

/***************************************************
  This is an example sketch for our optical Fingerprint sensor

  Designed specifically to work with the Adafruit BMP085 Breakout
  ----> http://www.adafruit.com/products/751

  These displays use TTL Serial to communicate, 2 pins are required to
  interface
  Adafruit invests time and resources providing this open source code,
  please support Adafruit and open-source hardware by purchasing
  products from Adafruit!

  Written by Limor Fried/Ladyada for Adafruit Industries.  
  Small bug-fix by Michael cochez

  BSD license, all text above must be included in any redistribution
 ****************************************************/

#include <Adafruit_Fingerprint.h>


//#if (defined(__AVR__) || defined(ESP8266)) && !defined(__AVR_ATmega2560__)
// For UNO and others without hardware serial, we must use software serial...
// pin #2 is IN from sensor (GREEN wire)
// pin #3 is OUT from arduino  (WHITE wire)
// Set up the serial port to use softwareserial..
//SoftwareSerial mySerial(2, 3);

//#else
// On Leonardo/M0/etc, others with hardware serial, use hardware serial!
// #0 is green wire, #1 is white
#define mySerial Serial2

//#endif


Adafruit_Fingerprint finger = Adafruit_Fingerprint(&mySerial);

uint8_t id;

void setup()
{
  Serial.begin(9600);
  while (!Serial);  // For Yun/Leo/Micro/Zero/...
  delay(100);
  Serial.println("\n\nAdafruit Fingerprint sensor enrollment");

  // set the data rate for the sensor serial port
  finger.begin(57600);

  if (finger.verifyPassword()) {
    Serial.println("Found fingerprint sensor!");
  } else {
    Serial.println("Did not find fingerprint sensor :(");
    while (1) { delay(1); }
  }

  Serial.println(F("Reading sensor parameters"));
  finger.getParameters();
  Serial.print(F("Status: 0x")); Serial.println(finger.status_reg, HEX);
  Serial.print(F("Sys ID: 0x")); Serial.println(finger.system_id, HEX);
  Serial.print(F("Capacity: ")); Serial.println(finger.capacity);
  Serial.print(F("Security level: ")); Serial.println(finger.security_level);
  Serial.print(F("Device address: ")); Serial.println(finger.device_addr, HEX);
  Serial.print(F("Packet len: ")); Serial.println(finger.packet_len);
  Serial.print(F("Baud rate: ")); Serial.println(finger.baud_rate);
}

uint8_t readnumber(void) {
  uint8_t num = 0;

  while (num == 0) {
    while (! Serial.available());
    num = Serial.parseInt();
  }
  return num;
}

void loop()                     // run over and over again
{
  Serial.println("Ready to enroll a fingerprint!");
  Serial.println("Please type in the ID # (from 1 to 127) you want to save this finger as...");
  id = readnumber();
  if (id == 0) {// ID #0 not allowed, try again!
     return;
  }
  Serial.print("Enrolling ID #");
  Serial.println(id);

  while (! getFingerprintEnroll() );
}

uint8_t getFingerprintEnroll() {

  int p = -1;
  Serial.print("Waiting for valid finger to enroll as #"); Serial.println(id);
  while (p != FINGERPRINT_OK) {
    p = finger.getImage();
    switch (p) {
    case FINGERPRINT_OK:
      Serial.println("Image taken");
      break;
    case FINGERPRINT_NOFINGER:
      Serial.print(".");
      break;
    case FINGERPRINT_PACKETRECIEVEERR:
      Serial.println("Communication error");
      break;
    case FINGERPRINT_IMAGEFAIL:
      Serial.println("Imaging error");
      break;
    default:
      Serial.println("Unknown error");
      break;
    }
  }

  // OK success!

  p = finger.image2Tz(1);
  switch (p) {
    case FINGERPRINT_OK:
      Serial.println("Image converted");
      break;
    case FINGERPRINT_IMAGEMESS:
      Serial.println("Image too messy");
      return p;
    case FINGERPRINT_PACKETRECIEVEERR:
      Serial.println("Communication error");
      return p;
    case FINGERPRINT_FEATUREFAIL:
      Serial.println("Could not find fingerprint features");
      return p;
    case FINGERPRINT_INVALIDIMAGE:
      Serial.println("Could not find fingerprint features");
      return p;
    default:
      Serial.println("Unknown error");
      return p;
  }

  Serial.println("Remove finger");
  delay(2000);
  p = 0;
  while (p != FINGERPRINT_NOFINGER) {
    p = finger.getImage();
  }
  Serial.print("ID "); Serial.println(id);
  p = -1;
  Serial.println("Place same finger again");
  while (p != FINGERPRINT_OK) {
    p = finger.getImage();
    switch (p) {
    case FINGERPRINT_OK:
      Serial.println("Image taken");
      break;
    case FINGERPRINT_NOFINGER:
      Serial.print(".");
      break;
    case FINGERPRINT_PACKETRECIEVEERR:
      Serial.println("Communication error");
      break;
    case FINGERPRINT_IMAGEFAIL:
      Serial.println("Imaging error");
      break;
    default:
      Serial.println("Unknown error");
      break;
    }
  }

  // OK success!

  p = finger.image2Tz(2);
  switch (p) {
    case FINGERPRINT_OK:
      Serial.println("Image converted");
      break;
    case FINGERPRINT_IMAGEMESS:
      Serial.println("Image too messy");
      return p;
    case FINGERPRINT_PACKETRECIEVEERR:
      Serial.println("Communication error");
      return p;
    case FINGERPRINT_FEATUREFAIL:
      Serial.println("Could not find fingerprint features");
      return p;
    case FINGERPRINT_INVALIDIMAGE:
      Serial.println("Could not find fingerprint features");
      return p;
    default:
      Serial.println("Unknown error");
      return p;
  }

  // OK converted!
  Serial.print("Creating model for #");  Serial.println(id);

  p = finger.createModel();
  if (p == FINGERPRINT_OK) {
    Serial.println("Prints matched!");
  } else if (p == FINGERPRINT_PACKETRECIEVEERR) {
    Serial.println("Communication error");
    return p;
  } else if (p == FINGERPRINT_ENROLLMISMATCH) {
    Serial.println("Fingerprints did not match");
    return p;
  } else {
    Serial.println("Unknown error");
    return p;
  }

  Serial.print("ID "); Serial.println(id);
  p = finger.storeModel(id);
  if (p == FINGERPRINT_OK) {
    Serial.println("Stored!");
  } else if (p == FINGERPRINT_PACKETRECIEVEERR) {
    Serial.println("Communication error");
    return p;
  } else if (p == FINGERPRINT_BADLOCATION) {
    Serial.println("Could not store in that location");
    return p;
  } else if (p == FINGERPRINT_FLASHERR) {
    Serial.println("Error writing to flash");
    return p;
  } else {
    Serial.println("Unknown error");
    return p;
  }

  return true;
}

Just some points

Have you verified that the module's Rx input can handle 5V? According to your link the board has a 32-bit ARM Cortex M4 and I'm not sure if that processor will survive 5V on its pins.

Have you checked that both 3.3V pins are internally connected in the module? They might not be in which case only part of your module is powered.