Double check that the wall wart is putting out the right voltage and has enough current. Next see if you can get your local NOAA weather station. next try putting the unit in AM mode and see if you can pick up any air traffic. Open the squelch on AM and see if you get a signal indication. Sometimes wall warts put out so much RF 'hash' they overload a receiver powered by them. If that is happening, you may be able to use a ferrite core (or bead) to reduce the 'hash' on the leads but the wart will still be putting out noise you would pick up.
I once though I had the right wall wart (it was a 12 V unit) and fried my RF board-hope you did not do this. Double check before you hook it up.
Hope this helps