There is a plastic horse-shoe-shaped piece that is part of the turn signal hold/cancelling mechanism. It commonly breaks resulting in just what you have. It is a monumental job to remove & replace the whole switch even if you can afford the replacement. All but the pickiest simply live with it- it seems not to affect the signal's operation to hold it on in a turn. A couple of the vendors are trying to develop a more durable replacement part but I haven't heard much more about the project.
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