Hi Capt.
FWIW, I worked at Menards for years and sold that fan and nobody was ever really happy with it. I always suspected the "drafting" explanation mentioned by Alan above, combined with the tiny blades. It seems like an OK option when you don't have any other options because at least it moves *a little* air.
As for the changing direction, is it possible that what you are feeling is the air rushing to the top to replace the little bit that is blowing out the bottom? Because it is moving so little air, it can be hard to tell the direction. Also, maybe you could try feeling slightly farther out than you think you should. Obviously, there will be no movement in the center of the fan (no blades), but sometimes the air movement is farther out than you would think it is. Unfortunately, this might also make it harder to tell the difference between the "blowing" air and the "replacing" air.