Since you didn't say what year/control, i'll throw out all the conditions.
1st, if it starts in MDI and stops when you go in to jog mode, that is TOTALY normal. You must turn on the spindle when in manual mode from the front panel ( spindle FWD button).
2nd, the machine has to have had a commanded spindle speed (if early) in auto or MDI before you can use the spindle forward button in jog mode.
3rd. Barfeeders will cause JOG problems if not in manual mode on the B/F
4th. Door interlock switch. If not in release mode the spindle will not turn with the door open.-again, don't know what year you have.