Today's one of those days on which I'm extremely happy these forums are here. I got a Shimano DH-3N70 Hub Dynamo and Lumotec Oval Plus for Christmas. I've been setting it up today, but having this same problem: when off the bike the switch works fine, but as soon as I mount it the switch no longer works and it is always on.
From the forums I got the following key pieces of information: 1) The Oval Plus is grounded to the frame; 2) The switch on the Oval Plus is on the ground side of the lamp; and 3) Unlike the SON dynohubs, the Shimano hubs are grounded to the frame. As a result, the Oval Plus when connected to a Shimano dynohub will not work correctly if connected to a metal bracket.
I've seen suggestions here and there that to get around this you can mount in on the handlebars or add some sort of insulating layer. Neither of these is very satisfying so I took a harder look at the lamp; I think all you have to do is remove a screw that connects the ground of the lamp to the terminals where it makes contact. As far as I can tell, the screw serves no other purpose (i.e. I think this IS its purpose). I'll link a few pictures below.
1) This picture just shows the whole lamp. On the left side you can see that where it bolts to the bracket there are large metal contacts:
http://mypage.iusb.edu/~hpscott/Bike/BM_Full.jpg
2) The following two images show the underside of the lamp. Notice the screw on the terminals for adding a tail or secondary lamp (in the second image it has been removed). Notably, this screw does not hold the terminals in place, and from what I can tell doesn't do anything other than make electrical contact to the metal contacts for the lamp body (as shown in BM_Full).
http://mypage.iusb.edu/~hpscott/Bike/BM_In.jpg
http://mypage.iusb.edu/~hpscott/Bike/BM_Out.jpg
After removing that screw my lamp now works as expected: when the switch is off the lamp is off! I strongly suspect that this is the intended use for the screw, but apologize in advance if I'm mistaken (or if some else has already posted this information!). If anyone knows a reason why this should not be done, please post ASAP and I'll delete this post.