Did you order it without an OS? If so, that would explain it - no optical media to boot to, no hard drive OS to boot to, and no PXE server to boot to (likely your 'media test failure' message).
I purchased a Poweredge T110II server last week for a new office.  It was delivered on Friday and I had set aside today to connect it.  However, I plugged it in, powered it up and I"m getting a Media test failure, check cable and no current boot device available.  Does anyone know why I'm getting this?  Did I set something up incorrect or is there a problem with my hardware? Any help would be greatly appreciated. 
Poweredge T110II