Perhaps some error occurs while starting Emacs or loading a LaTeX file
which prevents the mode from being loaded completely. You could check
this by putting
(setq debug-on-error t)
as the first line into your init file, restarting Emacs and loading a
LaTeX file. If there is an error you should get a very visible
backtrace.
I saw nothing. Where should I see any error?, if there is one?
A new window should be opened showing the backtrace. Under certain
circumstances this does not happen, but if there is an error it should
at least be recorded in the *Messages* buffer.
Anyway, can you reproduce the problem when opening Emacs from the
command line with
emacs -Q -l auctex
?