No matter how well you create a connector, you are always going to have some loss in signal across that connector. When you use an extension lead, you add an additional point where the signal has to go through a connector.
Apparently the frequency used in that powerline ethernet adapters experiences a huge loss across connectors and will attenuate the signal so badly as to make it unusable.
When you plug the adapters directly into the wall outlet, the signal is able to travel through the wiring in the house that has permanent connections that are much better than the compression plugs in an extension lead.