The little flag in the switch that says ON & OFF is properly called an annunciator - so I learned in my apprenticeship in 1962.
From what you say the switch appears to be working perfectly but the annunciator has got its knickers in a twist and is showing the wrong condition - quite how and why is a mystery - if it were my shower switch I would not bother about it until I wished to sell the house. Any safety implications are likely to be very minor - until someone is electrocuted dead of course.
You might get a replacement switch if you're worried about it - I believe the UK regulations for electrical wiring require a certificated person make repairs of this sort in "wet" areas.
Peccavi
August 2009