As part of the puzzle/gimmick, the Dash module doesn't have a key assigned by default. Once you pick up the Dash module, you need to open the menu with ESC and manually assign a key for it under the Controls tab to use it!
To help players out, I made it so pressing ESC right after picking it up directly opens the Controls tab, but seeing that it's still confusing, I definitely need to rethink how to make this clearer and more intuitive.
Hope this helps, and thanks a lot for the valuable feedback!