Most CFL light bulbs, and maybe some LEDs too, accumulate charge on their internal capacitors as a result of the small current flowing through that switch when it's turned off.
When it accumulates enough, they light up. But not for long, since the capacitor doesn't hold much. That process repeats, with the light "flickering" as often as several times a second, most easily seen in a dark room.
That's why they include the "gift" capacitor. It provides a way for small AC currents to travel around the bulb, rather than through it.
I've eliminated flicker, and made switches like these work with bulbs they would otherwise refuse to work with, a variety of other ways too. Many of my old remote control switches have AC plug inputs and outputs. So I just plug a two-way splitter into the switch, plug the lamp into one receptacle, and something else into the other receptacle. Sometimes an old transformer-based "wall wart" power supply is sufficient. Old mechanical timers like these work well too:
The motor inside draws enough current to allow the switch to work properly, and prevent the bulb from flickering. Other things, like incandescent night lights, can work too.