P2419HC, VGA to HDMI not working

I have a pretty basic Lenovo desktop.  I've got a dual monitor setup with two P2419HC monitors. There is an HDMI output and a VGA output on the back of the computer. I have one monitor up and running with an HDMI cord directly from the PC to monitor. I got a VGA to HDMI cord but the monitor just says "No HDMI Input"

I don't understand what's wrong? I tried resetting the monitor, I've rebooted the computer. I know the VGA works b/c when I connect a VGA monitor to it, it works. The monitor is new and I've connected USB Type-C laptop to it and a direct HDMI and it worked. Any help?