Hi

Firstly ensure that your guitar cable is sound and that the 1/4" jack is engaging with the input socket properly - some brands of jack plugs used by instrument cable manufacturers have been found by other users with other POD HD units to plug in too far - it's rare but it can happen.  Try pulling the jack plug out a few millimetres to see if this might be the cause.

Secondly, and more likely, your POD HD Pro may not have the Inputs set up the way you need them.  Is it possible the unit has been taken out of its box at the store and set up for a demo exercise?  The HD Pro has the ability to use Global Input Settings and this may have been set for an input scenario that doesn't include the main guitar input socket.

You'll need to check the System settings (page 3) for the input settings.  Hold down the View button to access the System Settings

Nick