It shouldn't fit the wrong way. Look at the wires, red to red, black to black etc.
You have it paired I assume? I've had issues like these before it might be a bad dongle or even the controller. I have dongles that only connect after trying for 20 times, but on my other controller the same dongle connects every single time.
The most reliable way to connect to a Kelly is through the PC rs232 serial Port.