Good deal! The thing to remember is that if the trigger has not been pulled, ie as in discharging a round, a shell won't drop unless you hit the shell drop.
So to get a shell moving... Pull trigger, shell drops at the same time. Or hit shell drop, and shell drops onto the lifter. This is handy if you are cocked and chambered with 00, and want to load a slug. You rack out the 00, then rack again to lempty the shell lifter, and then you can put the slug in thru the ejection port without loading another shell off the now empty lifter. This is what you want to get down when you play around with the Dummy rounds.
Welcome to the Benelli M4 Fraternity!