Yes, this is a problem, the library of the generated type does not contain these interfaces. Something you can see by running the OleView.exe command, View + Typelib, displays the contents of a type library decompiled back into IDL syntax. Please note that IDiaLoadCallback and others are missing.
IDL, ++, DIA, , . , Midl.exe , [library]. , [coclass] . .
. dia2.idl , . , [library]. Midl.exe. .