I can't seem to repeat that behavior.

The song I tested is in the key of G, and I opened the Melody track in the notation display (a MIDI track).

I changed the key to F using the same method and the notation appeared to have changed correctly.

Is the track frozen or similar?

Perhaps you could post the SGU file for others to test, and/or send it to PG Music support for their evaluation and comment.

Please see my results, below:

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