Please make sure that you have the right version of MATLAB. The cameraCalibrator app for calibrating a single camera was shipped in release R2013b. The functions for stereo calibration and 3-D scene reconstruction were shipped in R2014a. Also note that the function for detecting the checkerboard is calleddetectCheckerboardPoints.
Could you post a sample image? Off the top of my head, I would suggest you try using a very bright lamp to illuminate the checkerboard.
On a side note, you can definitely use the Camera Calibrator to calibrate the Kinect's RGB camera. You may be able to use it to calibrate the IR camera. However, it is not really designed to calibrate the overall Kinect depth sensor.
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