In response to Budreaux / HoneywellSux (but realistically for anyone else who has this, since those posts were years ago):
I just had the same symptoms on a gas furnace as well. Looked this up in Google, decided not to set the jumper against the official instructions and went to look at the thing again. Carefully lining up the faceplate with the backplate, but without actually clipping them together, I noticed that the red / Rc wire was coming in from the left, i.e. the same direction of the jumper relative to the wire clampdowns. My red wire has maybe .5 inches stripped, enough to be making contact with the (poorly positioned) 3rd pin of the fan setting jumper when the faceplate is clipped on. I bent the red wire out of the way, and my problem's solved. Moving the jumper's position would insulate this pin from making contact too, and since my symptoms were the same, I bet that was your guys' problem.