AnglVapin, this sounds like an unstable switch. One thing that can help is: screw off the battery, then try blowing, then sucking on it in quick succession for a bit. The light should go on (blow) and go off (suck, or alternatively not do anything though this last will go a bit slower). If you indeed see this as a result (or if you see that it's 'on it's way' to get there, then in that case just continue for a while longer with this) - then try screwing it onto the atomizer again, see if it now behaves better.
You might have to repeat these steps for a couple of days, because just letting the pen sit without using it might bring back the unstableness for a while yet - but after a few days, the switch should be working okay and if it doesn't, then I would advise to swap it if you can - then it's probably going to stay a troublemaker.
Also, just to be sure, clean the contacts well (threads but also the small plates that touch each other) - impurities on the contacts can cause some strange things too.
I hope this helps a bit, good luck on getting it to work (and I think you are right in favouring the pen-style btw - it IS good when it works well

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