It's been a long time, but I do believe you should be able to just connect it and it goes. All the other Kenwood's I've worked with do that.
If it does work...
Check to make sure the contacts are clean on the radio and mic.
Make sure the cable isn't damaged.
Is it a OEM Kenwood Mic, or an after market?
If it's a used mic, they tend to take a lot of abuse. Most agencies consider them expendable, so if you buy one used, you could be getting one that was damaged.