hackmaster, when you plug it in, does it register as headphones or anything?
Better question, do headphones work in your phone? Are you on WP8 or the developer preview of 8.1?
I don't see any reason why it wouldn't work with your 521...I have an FM transmitter that I use daily. And if the cassette adapter is a 3.5mm which I assume it is, and it works in the HTC...it SHOULD work on the 521...
Also lets try the dumb but sometimes simplest questions/answers....
Volume up all the way? Rebooted your phone recently? Sometimes a reboot solves random issues.