Don't worry, you'll never find one of these remotes without a defect. ^^
Mine has had lots of problems and this was one of them.
Try pressing the button in FX mode (so you're sure it's supposed to light up), then try to GENTLY twist the emitter clockwise. At some point light should be back, but the problem won't be gone, and will happen again as soon as you tilt the emitter, press it or twist it.
My advice on this, is to apply a little strength on the emitter, to be sure both the emitter and head of the sonic are in perfect position, then twist it. That way, it will light up, and the problem won't come back if you press the emitter by accident.
Again, be careful, and don't hesitate to contact me again for more advice.
Cheers
- - - Updated - - -
Oh wait, I just remembered a video I saw a while ago; a guy had broken his sonic by flicking it; make sure the inner tube of the head is not making his way out. (If it's the case, I can't help you, because this sonic is one of the few things in my house I've never disassembled (completely))