I had this problem too. When I first put on the cover, the power button sticks out as it should but when I press it, it doesn't spring back up to it's original position. I removed the cover and the button goes down and springs back up as normal. In its mushed down state, I have a very hard time activating the power button to turn on/off the screen. I think some Thunderbolts have a defective cover.
I showed it to the VZW reps and they said it was normal and I have to live with it. I then proceeded to just return the phone and all accessories (I only had it for a few hours). That's when the rep said they could replace my phone instead. The new phone has a properly working power button now.