If you rush the start sequence and the MDS Manager doesn't get enough time to prepare the ECU, then it will alert you by flashing the BRIGHT HEADLIGHT INDICATOR ON THE DASH 5 times.
At that point, you can either ignore it and drive the vehicle normally but just be aware that the MDS will function normally (as per factory settings). If you want the MDS module to function (i.e. turn off MDS), then you need to turn the vehicle OFF, remove the key for 5 seconds and restart the vehicle being careful to allow the key "pauses".
As a note, the module is pretty tolerant of the key sequence, but it can definitely be "surprised" if the key is turned too fast in some instances. It needs approximately 1 second to prepare the ECU for the MDS Management sequence.