Included cables are complete trash. Any thin and flexible cable are not likely to work. Generally USB3 cables work best. USB3 part does not do anything, but they have not bee optimized to death.
And while things seem to work while USB sniffer itself is not powered, I would not use it like that, since this may cause additional issues.
Ans as always, it is better to connect to the root hub ports for both the target and the sniffer itself. Any hubs in a path may cause issues.