Dictation will attempt to put its results where the keyboard, and/or pointer focus is currently located. Have an application (e.g. Pages, Word, Safari) open, but you have clicked on the Desktop, or have non-input focus on another application — then Dictation will not appear to be working. It is always a good idea to first tell Dictation to “show commands.”
As has been noted, there is a small window of time between triggering Dictation before it is really ready to accept commands. As long as it is cycling through the three white circles, it won't be listening to you. Once the microphone appears and the audio level in it is pulsing, then it will accept voice input.
Using the Dictation keyword phrase from the Dictation panel in the Accessibility preference will frustrate you entirely into apoplexy. It is just too unreliable. Back in the MacinTalk I, II, III, and PlainTalk days (1990s) this feature actually worked well. When you speak, Dictation will show you what you said after the keyword phrase, but then just ignore it. On the otherhand, custom Dictation Commands… (including those written in AppleScript), actually work quite well for me — probably because I limit these to a couple of words.