Did you check the ground in front of the statue and see if there is now a small jewellery box style chest there? If nothing happened, then presumably you were not getting hit by lightning...
Try using the amulets in the wrong order (save first, just in case they do too much damage), and see if you get a reaction.
IIRC the statue is on the left as you enter the room from the stairs leading up from the southern (IIRC) branch of the tunnels. I'm not sure what the acceptable range is from the statue; I think I was a little outside the usual distance you would talk to an NPC from. Maybe if your character is standing on the spot the chest needs to appear it can not trigger? Maybe try from farther back, or off to the side.
