Yes, it's frustrating when a new knife isn't sharp. But if you have basic sharpening skills, it will be a minor frustration -- or no frustration because you'll want to establish a perfect edge bevel as soon as you get your new knife. From your post above, I'd guess your sharpening skills are a little weak. Several blade characteristics affect cutting ability. The acuteness of the edge bevel is one. Benchmade typically comes with 50-degree edge bevels inclusive (25 degrees per side), more or less. Spydercos are usually closer to 30 or 40 degrees. Spydercos also tend to be thinner blades, so that helps cutting power, too.
If your Benchmade came with a 50-degree edge bevel -- say 25 degrees per side or 20 degrees on one side and 30 on the other -- you'll have a hard time sharpening on a Sharpmaker. Lets say it's 25 degrees per side and your Sharpmaker is set up for 15 degrees per side (30 degrees inclusive) or 20 degrees per side (40 degrees inclusive). In this case, no matter what stone angle you choose, the stone is going to wear down the shoulder of the edge bevel, but not sharpen the edge.
Let's say your Benchmade has 20 degrees on one side and 30 degrees on the other. In this case, if you use the 30 degree stone angle on the Sharpmaker, you'll just round off the shoulders. If you use the 40-degree stone angle, you'll sharpen one side, creating a wire edge, but only round off the shoulder on the other side. You'll end up with a kind of sharp knife with a wire edge that will quickly get dull.
So what to do:
Paint the edge of your Benchmade with a Sharpie. Then make a dry pass with the 30-degree stone. With a loupe, look to see where your stone is making contact -- the part where the Sharpie paint is scraped away.
Chances are, you'll find the stone is working only the shoulder. You want the stone to be parallel with both sides of the edge bevel, scraping the paint off cleanly the entire width of the edge bevel.
Next, you can repeat the process with the 40-degree stone, which I'm guessing will be too steep as well, at least on one side of the edge if not both.
What all this means is that you have to reprofile the edge to make the edge bevel match the angle of your stone.
On the Sharpmaker, this reprofiling will take a long, long time because the stones are relatively fine and not meant to remove a lot of metal. You can buy diamond stones to speed the process. Or purchase an angled sharpening system that will cut a new edge bevel angle relatively easily. Or have a professional sharpener set the 30-degree edge bevel for you, after which your Benchmade will respond perfectly to your Sharpmaker.