This should only happen when using the single INS installation. The solution is to open the simicons panel (those shortcut icons) once as this panel contains an invisible gauge which initializes the INS. After that, turn the INS on via the MSU and it should light up.

On the twin INS installation, we've worked around the issue by adding the invisible gauge to the VC itself. So when loading the plane, which always means that the VC shows up, the INS will work right out of the box.