Hey Arnold - you're not doing anything wrong!
There are many types of feedback that are generated by the Quiz module (Overall, General, Specific, Essay, Partial Correct, etc...) . As of now there's no way for it to know 'which' type of feedback you'd like to push to the grade book, so it doesn't do anything. That's my basic understanding anyway.
So we remind our students to just look at the quiz itself for the feedback they need to see, but should we want to leave specialized feedback, we save it for an assignment module.