Torque wrench doesn't click
I see 3 possibilities, it’s not clicking because you aren’t turning hard enough, it’s clicking and you aren’t noticing it, or it’s broken. (Edit: 4th possibility it's a kind of break-in behaviour of the tool and the click is very gentle to begin with. Not sure why but seems to be what OP is reporting in comments. go carefully.)

I tried clicking mine at 2Nm holding the hex bit by hand and couldn’t do it. I had to twist the whole head of the torque wrench. Above 4Nm it’s quite hard to lever the head to click without an actual bolt to lever against. 

I think you should try out a whole range of torques on suitable bolts, as well as finding another known torque wrench to compare against. Maybe seek out whoever calibrated it if practicable. 

Edit: caveat; if one is a new user of torque wrenches go carefully with torque. A torque wrench will/should tell you when you achieve the torque spec., but it won't stop you tightening the bolt further if you continue forcing it. Excessive tightening can damage bolt threads.