Tony,  I'm fairly certain this type of player requires you to manually
turn the bottom spool until the paper has one 'wrap' on it.  This lifts
a fingered micro-switch to tell the piano that the roll has finished
re-rolling.  Otherwise you have to hold the rewind lever in the "play"
position until the roll goes around once.

David Dewey

P.S.: The above is from memory; I don't have one nor a manual here.