Up front, I am not an expert. Having said that when I was fiddling with mine I ran into the same thing. Near as I can tell the spring is for closing the valve as it cools, not forcing it open as it warms. What appears to happen is, as it warms the spring relaxes it's push toward closed and the force of the exhaust pushes the valve open. When you shut the engine off and the spring cools it pulls the valve closed.
Thank you, Tiny. What you just stated is what I read on another site last night and it makes perfect sense as the spring "relaxes" allowing the exhaust gas to "open" the heat control valve. When using a heat gun, the spring relaxed away from the pin and allows the valve to open. When it cools off the spring causes the valve to "close". Thanks for coming on the forum and giving your input, much appreciated!