Am I doing something wrong or is there something wrong in this PMOS SPICE model?
To turn the PMOS transistor off you need to pull the gate up to the same voltage as the source. So, in your circuit you need a pull-up resistor from the gate to 12V.
Just opening up the switch doesn't change the voltage on the gate significantly, which is what you observed in your simulation. MOSFETs are voltage driven, unlike BJTs, so if the voltage doesn't change then the transistor will not behave differently.