To find out whether the meter is working you could do one or more of the following (sensible personal safety precautions assumed where required):
1. send it off for calibration, if you want to use it at higher voltages you need to know that you are actually applying the voltage that you think you are - faulty test gear is a pain
2. with the megger off, connect the leads together, switch on and see what the meter does - it should show a failure i.e. excessive current.
3. if you have a multimeter (Fluke etc.) set it to 1000V DC range and connect it up to the megger leads to check the voltage - using megger voltage settings not exceeding 1000V of course.
If you are getting a low reading when you connect up to the motor, it should mean that the motor is ok, assuming the megger is working properly. An initial surge of current can occur due to the capacitance of the winding charging up.
I have to differ with electricpete, I think that for a 480V motor, a better test would be at 1000V DC - at 500V you are not really putting enough stress on the insulation. If the motor has all six leads brought into the terminal box, you may be able to isolate all three phases and test phase to phase as well as phase to ground - this will show up all the possible insulation faults except inter-turn shorts (for that you will need surge testing, expensive!)