Is the extension cord a 3 wire cord, and is the outlet it comes from an actual 'grounded' outlet? (Sometimes people put 3 hole plugs on, but don't connect the green ground to the outlet itself (or only have two conductor 'wiring' and wire the ground to the outlet case (which does no good at all unless there is metal conduit going all the way back to a real 'ground'.
The 'negative' wire is what completes the circuit (to keep it simple) back to the power plant. The third wire (usually green) is what is actually connected to a physical ground.
You may need to 'disconnect' the 'green' to get your device to work, or maybe you need to use the 'hot' wire (red or white), and the green (ground) on the device, instead of the neutral(negative/black whatever terminology you use). It seems that the problem is the current isn't flowing 'through' their bodies.
Wait a minute..... it may be the exact spacing between the pair of wires that makes the difference. If they can get to where their claws are only in contact with the wires, that might be enough insulation. I would suggest you measure the spacing on one of the store models you mentioned, and see if you have it exactly the same.
Is there a SAFE, lo-tech way to test which wire is hot and which is neutral?