I noticed that too. But Hasbro apparently wanted to leave his right arm with the bionic glove and gauntlet free to more accurately preserve the character's look in SITH, so they stuck the non-removable electronic lightsaber in his left hand instead.
Incorrect, I know. But...meh. Whaddya gonna do. When you put these complex electronic light-up features into a figure that's only four inches tall you have to make compromises, especially if you want to preserve something about a character's appearance. At least it more or less looks like Hayden Christensen, so that's something.