It sounds like you might not have your mandrel hot enough if you are saying the molten glass won't stick. Glass sticks to hot (coated!) metal, so you need to heat it in the flame until it is hot enough for the glass to stick to: until you get a faint glow is a good indicator if you are just learning. It will stick to the uncoated metal too, LOL, just won't come off again!
If you are saying that your glass isn't getting molten, you just have to be patient, which I know is hard to do!
The tendency is to bring the glass closer to the the torch head, but that leads to sooty (with a Hothead or one of the clones, the propane is not consumed close to the torch, and gets the glass dark gray or black sometimes) glass if you get too close. And you can burn some colors too if you don't move out a bit. So just be patient, learn to enjoy seeing the glass tip begin to glow, getting brighter and the heated area larger, then when it is really hot try touching it to the hot mandrel and it should stick.
I have never really used devardi glass, so I don't know how thick they are. It will all melt, but the thicker rods do take a bit longer.