My WMC-NWH10 has the same issue, it will not work to use the ZX300 as a DAC, my guess is it requires a usb host/OTG connection on the smartphone side and nether the WMC-NWH10 nor the Fiio L27 are providing that wiring on the micro-B/Full-A side.
The Fiio L27 appears to be much more convenient to use on portable DAC with usb micro-B inputs compared to the WMC-NWH10 though, although you can use a USB A to micro B adapter on the later, it's just slightly bulkier.
I wish there was a short walkman cable to micro-B or type-C with OTG wiring, that way we wouldn't need to use the wmp-nwm10 adapter but I haven't found any, I am guessing the demand is too low considering only owners of the NW-A40 series and NW-ZX300 walkman could use one.
I am guessing we could also make our own, someone actually did this:
http://call-t.blog.so-net.ne.jp/2017-10-06