Though I've never tried this particular lure water activated lights have been around for many years.
They were marketed up here for saltwater fishing hanging on your line and supposedly light up and attract more fish.
Then when they dry out the light goes out preserving your battery life.
For saltwater fishing I saw no advantage so I quit using them.
That and sometimes there was moisture in your tackle box and I didn't dry out completely in the battery went dead before the next use anyway.
If you dip this jig completely in water and it doesn't work then most likely the battery is dead and it never will come on again.
My preference is actually glow in the dark powder paint when I want my lure to light up.