I know that the Apple camera connection kit (CCK) works very well with my jailbroken iPad3 running iOS 5.1.1. But, that's the only CCK I have, so I can't duplicate your issue.
Oftentimes, the aftermarket CCKs don't work as promised. What brand do you have? Maybe someone here will recognize the name or have the same one - they might can help. Or, do you know of someone with an iPad? Maybe you can see if the CCK works in theirs. That way you can try to narrow it down to see if it's your iPad or the CCK...
Otherwise, you're only option I can see is to return it and either get a replacement or your money back.
Sorry for your troubles. Good luck.
Marilyn