The wording on this particular eBay item is pretty poor but there are plenty of similar products with better descriptions that are photographically identical... example that make a little bit more sense.
Anyway, I don't think this gives an analog value output, the LM393 is a comparator, so I think the blue dial sets the 'threshold level' and any sounds over that level cause a logic low. i.e. it compares the audio level and the dial and when one exceeds the other it gives a signal.
The features also say "The output effective signal is low level" which is probably Chinglish for the signal is a logic low, i.e. when the sound is heard it goes to 0V rather than 5V which is what I think you were expecting.
In summary: This device is is more like a Clapper, it detects a loud noise and sends a digital low signal.
Try making a loud noise with the same setup you already have, and if not try adjusting the potentiometer by turning it, but not too far! It probably only turns 180-270º.