New Magic Keyboard 2 connects via cable but not bluetooth
I have a 16" MacBook Pro and I just bought a space gray Magic Keyboard 2. Plugged it in via USB-C to lightning cable and it works just fine. Disconnect the cable and there's no wireless connection. I figured the battery was just low so I kept it connected all day. Still no joy. As soon as I unplug the cable the connection drops. Also, even when it's plugged in, System Preferences | Bluetooth settings doesn't show me how much battery is left like it does on my other devices. It just says "Connected - Charging".
I've rebooted the MacBook Pro and power cycled the keyboard many times. Any troubleshooting steps that I'm missing?
MacBook Pro 16″, macOS 10.15