Steps to reproduce, follow carefully as this is not a "I placed a jack o lantern on a snow golem and it made one."

Step 1
First place the MIDDLE snow block first, then put the pumpkin on top, then the snow block on the bottom. What you should get at the moment, is an intended snow golem statue, but not the mob itself.

Step 2
Add a jack o lantern within 2 blocks from it, and it must be to the northwest. (not on it)

What you will expect: Simple, nothing.
What you will see: A snow golem randomly coming to life.

P.S screenshots show instructions for you visual learners.