Hi
I'm not positive but I think that is how it is intended to work. I think the language switcher is to switch between languages, starting at each language's home page, not to bring up a different language version of the one post you are looking at.
I am new to WPML myself. I have been working on one multi-language site so I've learned a bit. I believe I saw in the documentation there is some PHP code you can add to your page and post templates, to display below the post, that shows a list of the other languages a post is available in. That I think is how you switch between languages on a single post.
Its possible you don't have to paste in code ,you just have to change a setting. I don't remember for certain, although I do seem to remember seeing some code somewhere that you paste in. Read through the WPML documentation. Its in there somewhere.