Paul IP was right... you have to press it really hard. I think the first one may have really been defective, because I thought I had tried that on it also (and I had made it work in the store on their sample). I knew the patches I was trying used modulation because I had been controlling it just fine from my A90 (which has a great joystick, by the way).
I didn't hook it to a sequencer to look at the data, but I don't think the joystick allows 100% modulation, since even pressing as hard as possible, it doesn't seem to modulate as much as if you route one of the sliders to control modulation.
I still really like this keyboard, but that joystick is a bit of a problem... Thanks for the help.