I just picked up a CR-500HD today with GPS and the power kit. In the quick test I did, the GPS didn't lock until I drove about for a few minutes and the camera tells you the GPS locked.
A few things I noticed right off, is when you connect the DC power to the GPS, make sure you put the connector in the right hole on the side. The video is exactly the same size and it won't work right.
I also think atmospheric conditions can make a bit of a difference as well for how quick GPS's can lock onto satellites.
Did you mount the GPS in a spot that is non-metallic? Mine was just close to the top of the window?