QUESTION:
Here is a better image with arrows and labels
http://imgur.com/ppk2wwc
Also I removed the bracket and the same issue still exists.
SOLUTION:
Either the drive is not vertically aligned, you have not inserted the drive in the proper rails, OR
there is a small Sata adapter (small circuit board) still attached to the old drive which you have failed to notice.
MSI with slot that works:
http://i.imgur.com/l7HUVQD.jpg
Vaio slot that drive cannot fit in:
http://i.imgur.com/EV31Uum.jpg
http://sonylaptopservice.com/