Probably a matter of them only being partially compatible. You can get HDMI out of DP if it is dual mode (look for a "DP++" logo) using a passive adapter (which voltage-drops the voltages to the right levels), but I doubt you could get DP from an HDMI source easily, because I think DP has 20 pins vs. 19 for HDMI and you can't passively create a higher voltage, only a lower one. So maybe your adapter works, but only if turned around, and going the other way (to HDMI rather than from it).
As P says, going the direction you are attempting (HDMI to DP) probably takes an active adapter at least, and even that is doubtful as it would also have to find a way to do it with one fewer pin. Since DP and HDMI are both digital I also would not think you need a converter unless you are going from DP to an analog destination such as VGA. I guess if the protocols were different enough, but I think they are similar pretty similar; the miniDP connector is exactly the same as Thunderbolt, and I use a $5 miniDP adapter from monoprice.com to connect a HDMI monitor from the TBolt connector on my Mac Book Air. Cheap and effective. But again, that is TO HDMI, not FROM HDMI.
