Thank you everyone for your responses.
I did in fact have my firewall turned completely off and I did follow the guide (many times )
I also just called the Klipsch support line and spoke with Ryan who was very helpful:
As I mentioned, my connection light goes red, then fast blue blinking for 60 seconds and then slow blinking purple. According to Ryan, this is incorrect behavior and the device is defective. Further, when I press the connection button, I should get a response of some sort. It should flash red or change from slow blinking blue to purple etc. In my case there is to effect whatsoever when the button is pressed.
So. The device is bad. I have already gone through the return process with Amazon and ordered another unit which will arrive Tuesday.
Thanks
Phil