I have used the MFJ small loop although with a different control box and I have designed my own loops for many years.
I can't really help you with the "beeps" and other functions of the control box but I may be of some help with the antenna itself. DO NOT tune the antenna at the rig with an external tuner as the efficiency will be horrible. The antenna MUST be tuned itself. This can easily be done by first tuning the capacitor (via the control box) for a peak in receiver noise. This peak will be very sharp an can be easily missed. Once you find a peak in noise, transmit into the antenna with low power and fine tune the capacitor for a dip in SWR. The 2:1 SWR bandwidth will vary from about 10 kHz at the low frequencies to about 50 kHz on the high end (off the top of my head).
If for some reason you cannot obtain an SWR of 1.5:1 or better at resonance, try moving the antenna away from other objects, such as the ground, metal desk, etc. I have been able to reliably work into Europe with 5W CW with my homebrew 3ft loop in the shack only 8 inches off of the floor.
If not properly tuned you may come to believe that the antenna is a poor dummy load but with proper care a small transmitting loop can be a fine antenna. For more information you may want to check out my page at the following URL: http://aa5tb.home.texas.net/loop.html
Be sure to check out the links at the bottom too.
Steve - AA5TB