I’ve gone through the posts on this switch and have not found this issue. Before installing the switch, I confirmed the line and load wires with a no-contact sensor. I’ve got the neutral wire connected to the rest of the neutrals in the box and to the switch.
With the circuit powered on, I have constant power to the load wire (measured at the switch and at the ceiling with the fan removed) no matter if the switch is off or on. I was puzzled by the blue LED and could not tell if the switch should be “off” if the LED is off or constantly on, but I tried it both ways and with all other settings based on the LED blink speed and I have constant power to my load wire.
Does this sound like a dud?