In order to successfully connect to cellular you must activate the SIM card.
Go to setup.particle.io and click on the Activate a Particle SIM link at the bottom of the page.
Enter the ICCID you got from the previous setup into the page and follow the instructions for activation.
If the device is still in listening mode (blinking dark blue), tap the RESET button.
There is a different, and easier, process for activating fleets of product SIMs.