HKDF is a key derivation function: it turns a symmetric key (a bunch of bytes) into another symmetric key, which can be longer (that's the point of the exercise).
Doing multiple inner iterations, to make the function slow, is a defence mechanism which makes sense when the input key is of inherently low entropy -- e.g. when it is a password (that's an unavoidable biological fact: as a storage medium for random-looking data, human brains suck). Deriving a key from a password is a task which is more complex than simply deriving a key from another key. HKDF does not pretend to handle the "password" bit. For that you need PBKDF2, which is password-based (that's the "PB" part) and also uses HMAC, this time with a configurable (and potentially huge) number of iterations.
HKDF is a building block for some cryptographic protocols, not something to use directly.