Sounds like it is working.

I *think* it should remain closed until operating temp. Then only open while cruising.

I have seen people swap the air pump and EGR vaccuum hoses at the switch over valve. This can cause rough idle when cold.

To check the correct orientation. Take both vaccuum hoses off the of the switch over valve. Start the car cold. The one with vaccuum on it goes to the air pump, the other goes to the EGR.