Um it shouldn't.....are you sure you have it firmly depressed? It is direct mechancial connection to your rear brakes. If you have it fully depressed you should be able to take it out of park, (engine off, key on) and the vehicle should not necessary move. Now if the brake was engaged and you tried to drive off,(engine on),notice the holding power of the brake.
so essentially, the e-brake should have very good holding power, IF fully engaged