SkyDropsBeats

I open a new Cakewalk file. I open the Key/Tempo Change under View, and change the key do my desired. I open the Piano Roll View, and find that nothing has changed. At this point, I'm expecting something like the notes on the left hand side of the screen to, well, do what they're supposed to do (I wouldn't know; this has been an issue ever since getting Cakewalk), but as I said, nothing happens. Am I missing something?

I thought it'd be like that, but upon doing below, my note still plays a perfect C. Am I not understanding your instruction, or is there something I'm missing?

Title self explanatory, so I'm saving a repeat of the same question to simply expand upon it; whenever I use the key/tempo change (see below) and set it to, well, anything, nothing works. I change the key from C, press the OK button, but any notes that I place are still in the key of C. This is especially strange because changing the BPM or the Beat Value actually works. Is there any fix, or am I to be banished to the purgatory of plain Cs forever?