Surge protector question

I bought a surge protector with coaxial cable in/out to also protect my cable modem. Per the instructions, I have a coax running from the
wall socket to the "in" of the surge protector, then a coax from the "out" of the surge protector to the cable modem. When I do this, it doesn't work.
However, if I run from wall to "out" of unit, and then from "in" to cable modem, it does work.
If this is happening, could it be that they accidentally routed it crossed inside the unit?
Or, theoretically, if the unit is working even when I have routed it backwards, would it still give me surge protection?
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