Let's clarify. A saddle valve is usually a mechanical valve that pierces the water line and then has a small tube running from that to the device (humidifier in this case). Inside the actual humidifier, there is a solenoid valve that will actually control the flow of water to your humidifier.
The Aprilaire 400 doesn't drain the water in the same way like some humidifiers (it sits there until it evaporates), but there is an overflow and it uses floats and a water level sensor.
step 1: make sure you are getting water to the unit (turn supply valve off, remove tube, put into bucket, turn valve on).
step 2: check continuity of the float switch. Disconnect the float switch, turn your meter to Ohms (or continuity tester) and check the wires to the switch. It should be if the float switch is up, there is no continuity (it would shut the solenoid valve off). When the float is down, there should be continuity (near 0 ohms).
step 3: wiring sounds ok. however, if the float switch is ok, water is getting to the solenoid valve, and the wiring is ok, The next possibility is the 24v transformer is overloaded (or has a bad connection) as is not providing the current needed to open the valve.
When testing voltage, I assume you are measuring across the solenoid valve (two yellow wires)? Is you meter set to AC volts? When the humidifier is off, the supply or common is switched off (no current can flow). Same thing could happen with a bad float switch. Depending where and how you are measuring voltage will change whether having voltage means that the valve is open or closed.