For performance reasons, calibre never uses the cover inside of the ebook with the sole exception of when it imports a book. At that time it extracts a copy of the internal cover for use in the application. When you change the cover in calibre, it is only this external copy that is changed.
When exporting a book from calibre (Save to Disk or Save to Device), calibre will update the ebook with the new cover. Appearantly, the method you're using doesn't trigger this automatic update. One "fix" would be to manually force an update to the ebook file after you change the cover. I use an update metadata plugin that will update covers as well as metadata.
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