That should definitely advance the spindle. That happened to me on my Jet lathe once when I took it apart to clean it, and forgot a small, innocuous, nondescript piece that was utterly required for function. If memory serves, it was the spindle lock that needed to be installed - there's a channel down the side of the spindle that the lock rides in to prevent the spindle from rotating when the handwheel is turned. If you don't put that in, everything spins and nothing advances. I suspect something similar happened there, or it's in backwards, or something.
If the lock is missing, your local hardware store probably has a suitable replacement. Or if you're like me, it's in an old library card catalog, in a baby food jar.