Have you made sure you've collected at least 10 stars? If you haven't collected at least 10 (or maybe it's 11 or 12), you won't see the beam of light, and therefore won't get access to the Wing Cap Switch Palace. Also, if you've already activated the Wing Cap switch, the beam of light no longer shines down.
However, if you've satisfied the requirements and have not yet activated the switch, I don't know what it could be.