In the specific case of Wiesel, the simplest answer is that the Hungarian Jews weren't being murdered en masse (at least while they were still in Hungary) until very late in the war. It is actually true in general that the mass murder of European Jews by the Nazis didn't really begin until the middle of 1941.

As you point out, Moishe is deported to Poland in 1941 and barely escapes the mass murder being perpetrated against the Jews there. But when he returns to Hungary to warn the rest of the Jewish community there, he is ignored or not taken as credible. The specific reason for this is going to be different from person to person who didn't believe him, but it basically just comes down to denial. That is, although the Germans had spent years demonizing Jewish people, before roughly mid 1941, they actually weren't murdering them on a large scale. Of course the Jews were rounded up into ghettos and concentration camps, but those weren't actually designed or operated with the intent to kill everyone there. It was only after the invasion of the Soviet Union, and later the Wannsee conference, that the Nazis decided to kill as many Jews as they could, not only in the territory they seized from Poland and the Soviet Union, but also in Western and Central Europe.

In that historical context, Moishe's warning is a very early sign of what is about to happen. Unfortunately, in many disasters, the very earliest warnings aren't taken seriously. It is almost axiomatic that any power waging war on another will have at least isolated incidents of war crimes. It is therefore possible, in 1941, to write off even accounts as horrible as Moishe's as isolated incidents which were abominable but which wouldn't have indicated that the German policy was now to murder all Jews.

And remember, until late in the war (1944), Hungary, which is where Wiesel lived, wasn't occupied by the Nazis, and the Hungarian government didn't deport Jews to concentration or extermination camps in Germany and elsewhere. Because Hungary was a German ally, it might have been tempting, even after hearing about the monstrosities occurring Poland and Russia and even in the rest of Europe, to believe that as a Jew in Hungary, you would be safe from Nazi persecution. After all, why would the Nazis invade their own ally?