Was at work, sorry. Got the batteries when I got home, plugged them in, and it's hard to say exactly. It's the kind of "6 to one, half a dozen to the other" kind of situation. To me, I'd say it switches instantly between modes. However, you have to push the button down with some oomph, you have to really mean to push the button, and you have to push it down further than I think you should have to. So I could see how some people might say you have to hold it, due to how far down you have to push it, but, to me, I'd consider it an instant change.
Try pushing it down hard and quick, like you're trying to push it into the battery, not just a soft little jab, and see if you still experience the same thing.
If I had to hazard a guess, without actually holding your impact in my hands, I'd bet that you're just having to push it further than you're expecting to, so you think you're having to hold it, and that there's nothing wrong with it. Just try giving it a firm, deep push, and do it a few times, and you should start to see just how deep you're having to push it. Once you figure out just how hard and far you have to push the switch down, then you should start seeing that you're not having to hold it, you're just having to push it further than you think you should.
At least that's my guess, but I can't do much more than that without having both impacts in my hands and being able to compare them side by side.