Why won't my Levitron Z-Wave dimmer switch turn the lights off?
From what you described and showed, and assuming that it was just a regular single pole switch you replaced that worked fine before, the wiring does look correct (though I'd skip the extra black pigtail wire that goes between the white and orange wire nuts). 

Sounds like the switch itself is defective, and the best course of action would be to exchange it where you purchased it. Remember, these things have a fair bit of electronics in them, so it can happen. Sorry for your luck.