Replaced switch on Hampton Bay ceiling fan (3 speed - 4 wires). Attached wires identically as on old switch (L-Black, 1 Gray, 2 Brown, 3 Purple. Fan will change speeds, but will not turn off. The switch is from Home Depot (Westinghouse brand). Am I doing something wrong?

Doesn't sound like it. Switch could be defective.
Disconnect all wires to switch. Twist gray, brown and purple wires together. With meter check for continuity between black and gray,brown,purple bundle. There should be switch setting where there is no continuity.

From ceiling fan they are white an blue wires and from the light bulb there is white an black I put white with white and black wit blue and the light won't turn on what am I doing wrong