No... It isn't defective. You need to create a single to trigger the PSU to turn on. Typically, this comes from the motherboard but your can use a paperclip to turn on the PSU for testing.
1) Get a paper clip and straighten it to a U shape.
2) Plug one end into the "green-wire slot"
3) Plug the other end into the "black-wire slot"
4) Power supply kicks on http://aphnetworks.com/lounge/turn_on_psu_without_motherboard_the_paperclip_trick