they normally output a higher voltage until a load is applied
It needs to be turned to the right. Either the 600 or 200 scale. 200 would be the obvious choice to pick up 9V but at that scale it might not be sensitive enough.
If you set the mulitmeter to the 200V scale, the 2nd position to the right, also because its AC I would expect a reading of 9-11V which ever way you connect the leads