It's doing what it's supposed to do. When the memory list is open (ie you've pressed down the middle button) it will scroll through the list. If the memory list is closed (press the middle button again) it will turn on and off the effect shown on the display (as it says on page 4 of the manual).
When you load a patch from the memory, the effect that appears in the display will be the effect that was in the display when you saved the patch. If you want two effects, one to stay on all the time and the other to be toggled with the footswitch, you need to save it with the effect you want to toggle visible in the display. You can only stomp one effect although you can have up to 4 in the patch.
If you want to toggle more than one effect, there is no 'loop' so you need to save two patch memories, one with the effects on and another with the effects off, and then use the memory list to switch between them. The B3 / B3N does this kind of thing better than the MS-60B .
Not sure what firmware you have, but there is no thumpinator option in the one I have.