There is something wrong with the light. For it to come on without the tailcap being clicked means there is a short somewhere, bypassing the switch internals. There should also be no rattle when fully assembled.
Before returning, try adjusting the switch retaining ring in the tailcap (i.e. loosen then tighten it). There are two small indents in the ring. Snap-ring pliers or fine-tip needle-nose pliers work best to adjust, but a sturdy set of tweezers (or sometimes just a paper clip unfolded) may due to the job. Note the Backup series uses reverse threading, so turn counterclockwise to tighten, clockwise to loosen.
If that doesn't help, you likely have a defective switch and need to RMA. Good luck.