Indeed, that's not right. Setting the PIO as an output and setting it high and low should behave as you expect.
Is the PIO part of a Nios core? How is it instantiated in your code - or is your Qsys module the top level of your design?
If instantiated, check you've not connected your exported PIO connection to an input signal at your top level. Pins configured as input signals can sometimes float mid-rail.
If your Qsys module is the top level then perhaps you're not controlling the PIO module from your software correctly.
I think (hope) this should be fairly straightforward to track down.
Cheers,
Alex