SDIO cards can be slightly problematic. In your case, you have a simple mechanical issue and should contact HP NOW!!! to have your unit repaired or replaced.
Not having had an SD card before, it seems that it doesn't fit quite right in the slot. If pressed in, it works. If you remove finger pressure, it rises about a 1/32" and loses contact. It seems to have some sort of spring laoding whereas CF cards do not. Has anybody run into this sort of problem? I'm also posting to HP and SanDisk, but I thought user opinions and experiences would be good to have.