Did the whole thing fill up with water? On mine (I have clear filter housings), I watched it fill up with water, only opening the valve to let the air out. I also wanted to let the booster pump prime. A lot of air came out the first time I used it so that might be your problem. And yes, a lot of water comes out of the waste line. On mine specifically, 3x more water will come out of the waste line than the RO
line. So if you make 5 gallons, you waste 15. On many units, it's 4x or 5x. Booster pumps and room temperature water makes units more efficient.
EDIT: If you don't have clear housings, just try to lift your unit a bit. If it's REALLY heavy, then there is water in it. If it's just as light as when you started, then you have a problem...