The valve is normally open, allowing coolant through like MIPS referred to. Just start the car up and switch it to hot. Look at the valve. Then switch to full cold. The valve should have moved and shut coolant flow off to the heater core. You can check the stubs between the valve and firewall, they should be cool(er) with the valve shut. The head unit switches the vacuum on and off, there's about 12 feet of potential problems right there. I have also seen new 'old car' parts like this that simply don't work out of the box. The diaphragm may not hold vacuum, might have been sitting so it froze up, etc.
Could try to clamp off the heater hoses and see if it changes; quick and easy if you have a suitable tool. Gentle use of vice grips...