Though as best I can tell, the keyboard is quite nice. If I can't return it, I'll probably rip it apart and try to graft it onto the Pi 400 I have downstairs.
Hmm... tried editing the original post, but no love.
Turns out it was a pair of bad video cables. I swapped in the video cable from the "normal" form factor RasPi 5 I bought a few months ago and everything works fine.
I still think there should be a piece of paper in the box that says "plug the cable in THIS HDMI micro port," but everything else seems to work. The keyboard is quite nice. Not as good as my IBM Model M, but what is?
The CanaKit support guys were quick, polite and pointed me towards several decent debugging steps, but they are selling HDMI cables that don't work with the 500+ (or the RasPi 5 I have downstairs.) And I thought I was buying an official RasPi power supply, but I looked back at the order and sure enough it was the cut-rate CanaKit branded wall-wart. The power supply was on me, I didn't look closely enough when ordering. But the bad cables are on them. I can't really recommend purchasing from them when there are other options where you can buy working accessories.
But... moral of the story is... a bad video cable can make the system look like something weirder and worse is going on. I should have known to test the simplest thing first, but I had to trudge downstairs, move a bit of equipment to get to where the good cables were. So I guess there's an additional moral which is "always have a known good video cable handy."
