No, you're not expecting too much. It's supposed to work (and frequently does) so there's something going wrong in your specific case.
In a diagram profile, you must create one metaclass and one stereotype for each custom diagram.
Each diagram metaclass must be named Diagram_<type>, where <type> is one of EA's predefined types, so Diagram_Logical for a class-type diagram.
This controls the icon for the diagram itself, displayed in the New Diagram dialog and the project browser.
Each diagram stereotype is named freely. This name is shown in the New Diagram dialog, along with the stereotype's Notes, which describe the diagram type. This is all the stereotype does.
Back up to the metaclass. You can add (string) attributes alias and diagramID, whose Initial Value control how the diagram type is displayed in the diagram title bar and diagram frame label, respectively. You want to set at least alias to the same as the name of the stereotype, unless you have some very specific requirements. diagramID can be an abbreviation, or the full name if you prefer.
Again in the metaclass, the (string) attribute toolbox controls which toolbox is opened by default (again in its Initial Value). You simply enter the unqualified name of the toolbox here, at least as long as you are working with a single diagram profile with the same name as the MDG Technology. If not, I'm not sure if it works the same way.
A frequent source of errors is when you accidentally overwrite one profile file with another, especially since Sparx recommends that you use the same name for the diagram and UML profiles. So if you overwrite the toolbox file with the UML profile file, EA won't complain but it won't be able to make sense of the toolbox and it won't work.
If you check the contents of the various files, you'll see that they all contain stereotype definitions, which differ in their <AppliesTo> properties.
UML profile stereotypes apply to Class, Component, etc etc.
Toolbox profile stereotypes all apply to ToolboxPage.
Diagram profile stereotypes apply to Diagram_Logical etc.
In the MDG Technology file, you should find the exact same contents but grouped under <UMLProfiles>, <UIToolboxes> and <DiagramProfile> (no "s").
Another problem might be if you're super-clicking through the MDG Technology creation wizard without realizing you've placed the corrected version of one of the files in a different directory - or have simply forgotten to include it.
I am intrigued by the fact that you get the same behavior with EA's built-in stuff. Not sure what's going on there. But I'm a bit of an old greybeard when it comes to MDG Technologies and tend not to use the profile helpers much.
I should also mention that I always save my profiles from the project browser, never the diagrams. In the past these approaches would lead to different results, but I'm not sure if they still do.
Anyway, hope there's something you can take away from all that.
Cheers,
/Uffe