The old switch is part of a 2-way (or more) switching but not the end which takes the L and feeds the dimmed output to the light. I'd say the new "switch" (dimmer) would likely be installed at end of the 2-way switching that has the L feed and connection to the light. Does that make sense? In other words, I'm thinking you are trying to fit it at the wrong end of the 2-way switching.
Edit: I'm also not convinced it will support 2-way switching with one switch as a conventional switch.
Did you not get an instruction leaflet with the switch, showing the connections?
Perhaps someone who has actually used these zigbee dimmers can confirm or correct me.