It's not wired right, or ...
As already stated, the HW output on the controller is opening the valve, the CH output is running the boiler. It sounds like your plumbing does not allow heating without hot water - hence only the one valve. As already asked, is this a 2 port valve (ie just 2 pipes) or 3 port (3 pipes connected to it) ?
I see two ways around the issue.
1) On your valve, there will be orange and grey (IIRC) wires which connect to a microswitch inside. These could be connected between terminals 2 & 6 on the controller so that when the CH is on, the valve opens, and the microswitch will turn on the boiler. This has the flaw that you can program the timer so that it demands only heating - but you'll still be heating the water. For this reason, I'd suggest a different change ...
2) Set the programmer to "10" mode, or gravity mode, or whatever it calls it. This limits you so that you cannot program heating on with water off. So whenever the heating is on (valve opened by power from terminal 5), the boiler will also run because the hot water output (terminal 6) is also on.