Are there any numbers or gauge markings on the valve? The radiator should work with the valve on. You should be able to adjust the speed at which the radiator heats up by adjusting the valve. This comes in handy when the radiator is in the same room as the thermostat, say. You can set it so that the radiator heats up slowly, thereby letting the steam get to all the rooms before the thermostat shuts the heat off for a while.

If the only way the radiator will work is with the valve completely off the radiator, I think there's something wrong with the heating system somewhere. Radiator systems need to be balanced properly to heat the house/apartment equally. It might be time for the landlord to call in a heating repair person.

But really, only the landlord can fix this problem. If you are out of your apartment during the day, you can't trust your current "system." So call the landlord again and get him/her to explain how the valve works, and if that doesn't work, ask them to get the radiator fixed so that you don't have to keep putting the valve on and taking it off.