They are right about products you buy from the shops - they just don't work, simple as that.
Dogs can have two types of mites: the Demodex mite, which causes demodectic mange, and the mite Sarcoptes scabei, which causes scabies (or sarcoptic mange). Demodex mites live in the hair follicles, whereas Sarcoptes mites burrow under the skin.
Skin scrapings are commonly taken to diagnose mange. Skin scrapings for Sarcoptes mites usually have to be deeper, because the mites themselves are deeper in the skin and harder to reach.
There is a good website which talks about Demodectic mange here:
http://www.marvistavet.com/html/body_demodecti c_mange.html
Let us know how things turn out!