Check the wire to be sure it hasn't been damaged. I had the wire that goes to the sensor on the rear derailleur break on me. The outter casing was fine, but the wire inside was busted.
I had the reed switch in the speed sensor go bad on both my power units...well, actually, it was the wiring to the sensor.
Either send it to Polar for repair, or, if you're handy with a soldering iron (and don't care about the warranty) you can just repair them as I did. Just pop open the speed sensor case and replace the reed switch with a new one from an electronics store. Only requires a little soldering. A dollop of RTV on the reed switch and then contact cement the case back together. I did that over 2 years ago on mine and they're both running strong.
You must be a little confused...There is no seperate battery for the wheel speed sensor on the POWER MODULE kit. The entire setup is powered from the battery in the watch mount.