With my particular M8N I opened it up and the pin out was stamped on the PCB breakout board. Just to be clear, you had that exact version of the M8N(Radiolink)? The one that I got had used a different set of colors for the RX,TX, VCC, and GND pins than the official one.
Something I'd suggest doing is opening up your GPS to confirm the pinout and also to try using the UBlox configuration software U-Center.
@LanderU provided a nice tutorial to do so through the Erle-Brain, have you seen it?
I was able to recreate his process using the non-official M8N that I purchased.
Of course, you could also just connect the M8N breakout directly to your computer using an FTDI UART cable or something similar.
With my M8N breakout, the LED would only activate when it had obtained a fix (3 or more sat locks), which I could only get reliably outdoors. The casing for my version was black but semi-translucent so the blue LED could shine through (only when it obtained a fix).
Easiest solution is just to get outdoors and wait a few minutes after powering it up to see if a light shines through.