That will make a sawtooth, yes, by design apparently.
Try an R+C from cathode to REF. Start with R similar to the divider resistor values, and C such that the R*C time constant is similar to the sawtooth rate.
BTW, TL431 isn't an "adjustable zener", its AC properties are extremely different from such a thing!

Indeed, it's a much more natural fit to call it an op-amp, with an open collector output (it makes an output voltage, but it can only pull down), an inverting input with a stupidly large offset voltage (yet that happens to be very consistent, i.e. 2.50V give or take

), and noninverting input strapped to "anode".
It may also serve to drop the recommended naming convention... there's nothing important about "anode" or "cathode". Rather, they're better seen as "ground" and "output" respectively. Or "emitter" and "collector" (with "ref" == "base", and Vbe being a very accurate 2.50V) -- a very high hFE, very slow (fT ~ low MHz) transistor.

Tim