It looks like it is on correctly. Did you take the column completely apart? If so did you mark the end of the steering shaft and the steering wheel so you could re-assemble them in the right order? Anyway, I think you have a piece missing. Where is the cancelling cam? The cancelling cam slips onto the steering shaft and the bottom rides on the copper button sticking out of the signal switch. Then the spring loaded copper button inside the long plastic shaft on the cam goes into the steering wheel hole. It is meant to rotate with the steering wheel. The cam looks like this:
