TCAS not working?

[Bianfable 0]

Before taking off with the CJ2 I set the Transponder mode to "ALT" and then click on the "TFC" button on the PFD and/or MFD to display traffic.

When airborne, I now see other aircraft displayed as blue dots with labels. The dots also turn red when they get close (even when they are more than 100 flight levels below or above me!?), but I never get a "TRAFFIC, TRAFFIC" sound or any Resolution Advisory from TCAS (like "CLIMB, CLIMB NOW"), even though I came close to a collision more than once.

Am I doing something wrong or is the TCAS not working in the Carenado CJ2?