It looks like you have only Poof selected. Poof doesn't have a face behavior (look to the right in the Properties panel).
A puppet has to be selected before it recognizes head movements and other behaviors. Try selecting one of the puppets with a Face behavior.
Wow. Glad to feel silly on this one, as it means my setup is correct. Not sure why my CH keeps deselecting the characters, when all the previews online show it happening automatically. The tutorial doesn't even once suggest a need to click on the characters in the track.
What I've been seeing is that when opening a scene, the selected puppet is the one that was selected when the scene was last closed. If no puppets were selected when the scene was last closed, then none are selected when the scene is opened again.