Your problem is a very common one not only to your grill but for all gas burners. All gas burners including yours if take a closer look except from the metallic rod which is the igniter and makes the sparking there is another rod called thermocouple which when the burner is lit is heated continuously and it produce a small electrical voltage which is capable to hold the gas valve with which is connected on its other end open so when you press for the burner to be lit you should keep it for about 30 sec until the thermocouple to warm up and be able to keep the gas valve open, thus when you release the gas knob the valve to stay open and the burner to continue to be lit. The reason for this system is when accidentally the burner blow off then automatically the gas valve will shut off too and there will be not any gas running in atmosphere with all the danger consequences.
So all you need is to replace the thermocouple with a new one and the burner will stay on after you will leave the gas valve knob.
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