The P terminal is for a master valve or a pump. If you don't have either one of those then you don't need to hook anything up to that terminal.
If you have a master valve then that's why it's not working. You'll need to hook it up.
I'm not sure what you mean by turning off the master valves. If you mean at the controller then no. Don't worry about it. I turn those off if there's isn't a master valve but it doesn't matter. You can leave them on.
You should check the output at the controller first before checking them at the valves. Use a multi meter. If you don't have one you could simply use a solenoid and touch it to the terminals to see if it activates. Turn on station number 1, touch one wire to the common and one to the terminal on number 1. Does it work?