Changing the cover in calibre, like changing any metadata, only makes the change in calibre. It doesn't make the change in the actual book.
To change the book you need to either reconvert, either from the original to the desired format or from one format to itself, or take some action that forces the updating in the book (e.g. Save-to-Disk, Send-to-Device, or a plugin that performs the task on the copy in the library).
Generally updating the cover is beyond the scope of metadata updating in most formats. There is an Update ePub plugin that can accomplish updating an existing cover in ePub files, though it can't insert a cover in one that has none.
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