I have the same problem, in a way glad to see it's not just mine - but very dissappointing to say the least.
I contacted HTC and had the following response;
You recently wrote us about an issue that you have encountered with your Device
I would suggest speaking to the retailer of the device as its possible there could be a problem if the lights arnt lighting up for you.
this could cause other issues if the software is not working 100%
Not the most helpful response, but I shall contact the seller (Expansys) and ask their advice. I would imagine it will have to go back if a Hard Reset is not working as it clearly means there is a serious device failing.
Gutted as I love the phone so far, maybe they rushed the release date and there are still bugs waiting to be found 
Regards,
one4five