Button - hit state works sometimes

I created a button in flash. I gave it a different state for ‘over’ and ‘down’ - changing the color and scale respectively, so it looks depressed when you hit it.

I then assigned an action to the button so that when it is ‘hit’ you are taken to another scene. However when you hit the button it goes to the scene but you lose out on the ‘hit/depressed’ part of the buttons state!? Why?

How do you keep the hit state intact with the button whilst simultaneously assign an action?
I understant ‘the action’ is to go to another scene first, but can it not also show the 'hit state too?

Here is my link. There are 4 buttons spelling UNIT

http://www.killianthearchitect.com/Pages/test1.html