after disconnection, bluetooth turns off in order to save power and the SW4 button is there to wake up the device from the sleep mode. The low power is defined in app_preinclude.h file as cPWR_UsePowerDownMode. You might want to test the example with this feature turned off (value changed to 0), so that sleep modes won't be used and the device would start advertising right after disconnection.
I also reccomend you to check the app.c file, what changes when cPWR_UsePowerDownMode is not defined.
Hope this helps.