Why is the first adventure always the hardest to get 'right'?

You could take a cue from Dungeon World and have an intro session, during which you ask your players pointed questions about their characters' histories and roles in the world, followed by increasingly more specific questions. The answers to these questions should ultimately serve two purposes: they should help flesh out the world (or at least imprint the player's vision onto a piece of it) and they should produce some solid character-driven hooks.

Grogg of the North said:

Remember, the point of D&D is to have fun. If your group isn't having fun it's up to you as the DM to figure out why and fix it.

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Nope.

It is up to the entire group to provide the fun. The DM is NOT there merely to amuse or entertain the players. In the OP, the DM gave his players what they said that they wanted, then they played as if they didn't want it. It is not the DM's job to try and guess what the players want and ignore what the players are saying.

The players have to take some responsibility for providing fun. Part of that is being honest about the kind of game they want. If I tell my DM that I want to spend most of my time exploring dungeons then proceed to act bored whenever I'm participating in a dungeon adventure that isn't the DMs fault.