Video ports that can be found on computers, monitors or TVs that are still being used by customers walking in off the street:
composite
S-Video
VGA
mini-VGA
component
DVI - this one could be an analog only, digital only or combo analog and digital port
mini DVI
Displayport
mini displayport
HDMI
Thunderbolt
And then there are the mobile devices where you can add in a few more ports to the mix:
30 pin connector
lightning
mini HDMI
Most of which (the customer), has no clue what port(s) they have on either device when they go looking for a cable.
The simple fact is, most of the techs in the store just are not up to speed with all those variants of video connections. Advising someone in the store that doesn't know what video ports are on their computer "and" TV/monitor makes it nigh on impossible for them to get the "best" connection into the customers hand. I would guess they're being trained in the situation where the customer doesn't know what they have, the "safest" suggestion is VGA as it is the most common port found on TVs and monitors.
Plus the fact that Apple has an "Apple branded" mdp to VGA adapter,
While they do not have an Apple branded mdp to HDMI adapter.
Selling mdp to HDMI adapters/cables at rip off prices from Belkin and Griffin at $35-$40 and cables at $45-$60.
So, don't go back to the Apple store to get something else.
If the VGA adapter is working fine for you and provides you with native resolution on your Dell monitor and you have no intention of connecting it to a modern TV, wouldn't waste the time exchanging it and probably spending more money than you already have and definitely more than you need to.
If you may have the need of connecting it to practically any TV manufactured since '08 (and will work on your current Dell monitor), then would suggest you head to Amazon or monoprice.com and purchase a mini displayport to HDMI cable. You should be able to find one in a length you need from 3' to 15' for about $12-$15 or less. When looking at Amazon, add together the 4 & 5 star votes and pick one that has close to or better than a 9-1 ratio vs 1 star votes.
Then perhaps try returning the one you bought from Apple - if the packaging is in good shape so they can resell it.