Huh. Weird - cause mine doesn't ask either when I change it. Maybe you have to wait 15 minutes before trying? Not a clue why it's not working, TBH...
If it doesn't work after 15 minutes, my only other suggestion is to sent in a troubleshooting report to Apple. Sorry, but I've no idea why it doesn't work.
Marilyn
P.S. I'm on iOS 5.1.1 if that makes any difference (though it still doesn't work).