I have one, and I have the same setup, except mine works. The only thing I can think of is if your speakers aren't amplified (aren't drawing power from any other source), and the L and R signal isn't strong enough to power them. Other than that, I'd just say return it. I bought one of these for $30 because I wanted all of the outputs that it included, but my fans were running at 12v and the fans in it were running at 5v, so I cracked it open to try to mod them to get them running at 12v. When I got it open, I was greeted with what has to be the worst built electronic item on the planet. It honestly looks like a worse job than I coud've done building it. Heck, they had so little confidence in some of their solder joints, that they covered them in what looked, felt, and peeled off like cheap hot glue. After all this, I'm still glad I bought it, because for $30, it was worth all of the A/V outputs (if they all work), and if you have a 360 that's running at stock fan speed, than the fans in it actually should improve your cooling. So, as long as it works, I'd say it's worth it, but the cheap manufacturing may (or in your case, will) cause some reliability issues. If you just want to have VGA and L and R output, I suggest you return it and use the money for a descent quality VGA cable.
This post has been edited by Bandit5317: Yesterday, 11:00 PM