did you change the CSS to style the text with the new font? just sticking the file into the epub won't change anything (except the size of the epub). don't forget to reference the font file in the manifest, too.
this post here has some details. it says it's for "after calibre" but the process is exactly the same.
https://www.mobileread.com/forums/showthread.php?t=61587
i've had no problem embedding a font and having it show up on my prs600, even a japanese font (for a japanese text).