External mic

Hello all - I am a new owner to this a6400, and ill likely have a bunch of stupid questions..

I have 2 mic's : one is a small cheap one that I can't remember where I got it. This cheap mic works fine.

I have a very expensive mic [for voice and music recording] that has an XLR plug. I have adapter cables for the 3.5 in the sony. 

I thought what a better mic to use for audio. 

So here's the problem - When I plug this pro mic in, in pause and record/set/volume, then record, the display shows the audio levels moving. When I make noise or talk the levels move as if I had the cheap mic plugged in. When I "PLAY" the just recorded video, there is no audio... nothing.

Am I missing some setting? why does one mic work and the other not? Why does the pro mic show it is recording audio, test like it is working perfectly, but the video has no sound?

Thanks for your assistance.  regards, dw