I have been through a bunch of them. The original part has a known problem with cancelling. Additionally, when you hit the brake, one of your brake lights come on.
I replaced the 1st Multifunction switch with a used one on ebay (same problem) then I bought the NOS (New Old Stock) Multifunction switch. The NOS was not the updated version, so it had the same problem (which is why it was so cheap).
You either have to live with it, or go through a lot of money and time finding the "updated" part. I have chosen to live with it, where my pinky does an extra wiggle of the turn lever, to make sure it got cancelled correctly.