I didn't think that HDMI to VGA worked unless the GPU specifically supported it (which I didn't think the 2014 Intel's did, could be wrong....)
As for HDMI to DVI should have worked. Are you sure the cable works?
What are you trying to drive with the HDMI to DVI? Another option would be to get another Mini DP to VGA or Mini DP to DVi for your second Thunderbolt/MDP port....