Mine stays lighted all the time too!
Of course that is b/c I installed a new switch that has the LED in it.
The stock swith is EXACTLY the same, w/out the LED to light it up. Go check the install instructions in the
How-tos and order you up a new switch and the wire from Bill Jenkins and 20-30 minutes later you'll be basking in the glow of your new lighted moon roof switch!
Note the above link 
