I have a Sennheiser MKE-400 and I was just experimenting with it. It turns out that it gets detected when you turn the camera on. If you turn the camera on, then plug it in, the camera will continue to use the built in camera microphone. If you plug it in first, then turn the camera on, the MKE-400 is detected and chosen. If you later unplug it, that is not detected and you simply get no sound at all.
The general recommendation is to not use the Sony autogain function and to turn the sennheiser level up and the sony level down. The Sony amplifier is noiser an inferior to the Sennheiser and you will benefit by letting the Sennheiser do the amplification.
Turn the mode dial on top to video. (this shows mic levels even when not recording) Press the MENU button Find Camera Settings 2 Find Movie 2 "Audio Rec Level" should be at the bottomI turned this down to "2". You get a level "meter" as part of this screen, which is very handy.
The MKE-400 has a 3-way switch. It set it to maximum (+) and I like what I see on the meters.
Tom's Digital Photography Info / tom@mmto.org