Double check that antenna dude... Like Bunta said, it is REALLY hard to push into the headunit usually. You think it's in, then you eat some spinach and push again, and it goes a whole lot further in.
I did this again recently when putting a headunit in my girlfriends car (goodbye tape-deck and manual radio knobs!), and the metal part of the antenna plug just about completely disappeared into the back of the head unit.
That said, her reception is still better than my Skylines. Might want to get a multimeter onto the antenna plug, and then touch the end coming out of the adapter to test its continuity. (while it's disconnected and powered off).
Test compared to touching the two probes of the multimeter together directly, and test the inner and outer part of the antenna cable.