Wiring an attic light and bathroom light to a 2 gang switch
The switch and the circuit both look dead simple. I can think of two possibilities.

(1) The switch is defective. Alternatively, the switch is not actually broken but is a special application device and it does not function the way we think it does. 

You'd need to borrow or buy another switch and connect it the same way. Tell the store where you bought it that you may have a defective product. 

(3) You've wired it wrong but you're blind to the error. This happens to me more often than I like to admit. The first person who comes and looks over my shoulder sees immediately what I've done wrong, and looks at me like I was a chimpanzee. 

The symptom you describe indicates you may have wired the switch like this:



which is why I asked about pigtailing vs. doubling up on one terminal -- to make you look at the connections from a different perspective.