Obvious question. Did you set the mode switch to timed mode i.e. pointing to the clock symbol and did you ensure that the tappets were out for off and in for on?
The indicator light should go out when the timer is in an off mode.
I have moved into a new house that has a typical gravity central heating system.
When it's calling for CH the boiler and the pipes around the pump area are very noisy - hissing, spluttering and turbulance in the pipes. No banging though! The noise continues for 30 seconds or so then dies down...