The new modulation mode "REMOTE" in Live 12 is not visually indicated on Push. While this may be addressed in future Ableton updates, you can switch back to the older "MOD" mode directly from the device if you prefer to see what's happening.
The visual feedback on the device only starts working once you moved the rate or sync Rate dials. (To avoid problems with undo history.)
These enhancements are designed to provide a seamless experience for Push users, allowing you to fully utilize the modulation capabilities of Ableton Live’s LFO, Shaper, and Envelope Follower without needing a computer for initial setup. Enjoy a more intuitive and integrated workflow directly from your Push controller.