It's very simple: it is the air trapped in the neoprene cells that insulate you, not the film of water you carry between your skin and the suit, period.
That water has to be warmed by you, so you spend energy to do so, once you have invested that energy that water has to stay there, otherwise you will have to spend more to warm up new cold water, thus the importance of a well fitting suit that limits water circulation.
Why is there water between your skin and the neoprene: not to keep you warm but because it is a wet suit and it can not prevent water penetration, if not it would be a dry suit and you would need seals, special zip and air management valves.
Now, wet suit neoprene is not all created equal, thicker = more air bubbles = more insulation = warmer. I know that Henderson Hyperstretch is very flexible and stretchable, I think that it's at the expense of insulation value. A similar 7mm with a denser neoprene would probably have given you better insulation.
In my neck of the woods we dive with a 7 mm farmer John below a hooded 7mm vest, that is a minimum. Also, the deeper you dive the air bubbles shrink in the neoprene and give you less insulation, wear and tear also reduce insulation values.