Thanks TurboDave. Got it. That means cleaning off any thread lubricant that may come on it. Mine has some orange stuff on it. Not sure if that was put on by the factory or not because I'm the third owner of my car.
With this gauge, with the key "on", and the engine not even running (!), I've sometimes seen the knock counts advance up from the lowest to maximum, then back down to the first LED again, then count back up again... Weird. I assume that this must be a bad sensor.