To my knowledge, there isnt a way to do this with zwave associations (it can be done using scenes though). I believe it is a limitation of the current firmware.
When using the switch to control associated bulbs, the switch always instructs the bulb to use its (the bulb’s) default dimming speed, regardless of the parameters set on the switch. Since the hard-coded default dimming speed of the bulb is 3 seconds, this means there is no easy way to get it to instantly turn on. I believe this could be fixed in the switch firmware (by sending a dimming duration based on parameters 1/3) or in the bulb firmware (by adding a config option to adjust the default dimming rate).
For my own switch, I just ended up using scenes to control the lights. Hopefully at some point in the future this will get fixed as it also affects the regular zwave dimmers.