I had the same problem. I thought it was not working, but actually it was working.
In order to verify it, you have to link your image from other domain. For example, you can add a post on blogspot.com and add an image url from your domain(e.g. http://yourdomain.com/image.jpg) After you published this post, you open it and will see that image does not show. You can see nginx returning 403 in nginx access.log if you did not disable logging.
However, nginx hotlink protection does not work for empty referer. nginx allows all requests with empty referer.