[JRTJH]

No, they are not all like that. I'd guess that if you've never used the furnace, possibly that switch has corroded internally??? That's just a SWAG, but if I were you, I'd either replace the thermostat or do some more "in depth" troubleshooting before you get yourself into a situation where you really need the heat and the switch "self-destructs" as you push it from one position to another. That's not the time to start figuring out why it's hard to change positions !!!!!