You must have done something wrong then, I've used this function several times over the years.
Just open the trainer, then run SA and start a new game. When you're in-game just hit Shift + 0 and an approval message or sound should appear. It probably doesn't while being in a mission, so you might just finish the first one and then do while being in free play. Once you successfully ran the function, save the game, close the trainer and load the savegame.