It's really simple thermal relief valves such as the one you have come with a set pressure like 60psi, or 80psi. An expansion tank is designed to be set for what ever the incoming pressure is and allow for expansion from there, the problem arises that no one ever checks or services them. Your valve may not be broken, in fact it's probably operating correctly, I like to use those as trap primers in mechanical rooms because it stops the p-trap from drying out and smelling the area up.
They are required by code in some area's I believe back home, the city of Burnaby requires them, you have two options really lower the water pressure on you "pressure reducing valve" or replace that thermal relief valve with a higher pressure one, like an 80psi model.
The easy method of changing it out would be two shark bite couplings unless you can solder in a new one, when you do change it out remember to turn the power off to the tank at the breaker so you don't blow an element.