The main device is connected with the black plug. The additional grey plug is just an extension cable for the USB-connector on the left side of the Valo.
Why is there no linux driver for the Valo? As the Valo is such a bitch and I don't own one anymore there will be no driver support by me.
My answer wasn't addressed here, where to look now? Problems that apply to all devices are addressed here the section called “FAQs”.