Are you sure you've plugged it into the correct connector?
Sounds daft but....
On my E46, there were two similar connectors close together. The tuning box could be plugged into either one of them. It will only work properly if it is connected to the rail pressure sensor. However, I inadvertently connected it to the wrong one and although the engine started, it didn't run very well.
Fortunately, it didn't damage anything and worked ok when I plugged it into the correct plug.....
