How old is your Sharpmaker? New coarse (if you can call them that) stones will remove steel, but they'll do it very slowly. They need to be broken in a bit before starting to cut the steel very well. Rub the edges of the rods together a bit and you should see an increase in their cutting.
I am newer at sharpening but I am also getting very frustrated that my edges do not stay sharp long at all.
As mentioned the magic marker trick is a good way to see where you're taking off steel. Also make sure that you're holding the knife very still as you pull it across the rod.
The most important thing about getting good results with the Sharpmaker is to make sure you're comfortable using it. Find a place where you can go through the entire range of motion fluidly and make sure the table you're using isn't too high or too low. You need to make sure that the angle of your wrist isn't changing along the entirety of the stroke, if it does the angle at which you're removing steel will change and you won't get an even edge.