Its now working. It wasn't the firmware -- I verified I had the latest -- although I have heard that lack of the latest firmware can cause issues. All I had to do was disconnect the sensor, power the grill on and then off again, reconnect the pallet sensor and then power grill back on again. It then recognized the sensor and allowed me to calibrate it. All good. My guess is that I may have installed the sensor the first time when the grill was powered on. I guess that can mess up the connection, so basically, I had to disconnect the sensor and start over.
I like the sensor, especially with a long cook/smoke, like today for my Thanksgiving turkey. It works well.