Basically it seems that Thunderbird only remembers/savesfor the first/default identity account.  It is very annoying when the signature gets placed at the bottom and another huge oversight on Mozilla's part.

Fortunately you can hack/manually set this setting. 

The solution for fixing the Signature At the Bottom (Below The Quote)

Click Tools -> Options -> Advanced -> Config Editor

Then search for ".sig_bottom" and set them all to false, and your problem will finally be solved.