If the ebook contains some definitions about the fonts to use, it takes the precedence over the default Calibre settings.
Maybe the ebook you are reading has some CSS rules that define the default font to use on the book itself (and probably the ebook even includes the said fonts).
You can try this yourself: this version of Treasure Island from MobileRead include font definitions for the text, and it keep using it even if you change the standard one on the Calibre settings.
This version of Dr Jekyll and Mr Hyde, always from MobileRead, doesn't contain any font definition in its CSS and it uses the default one as defined by Calibre.
It just works like that. You should look at the default settings in Calibre as a fall-back in case the book doesn't provide any information in this sense.
If you really want to change the font used during reading, you should edit the CSS file(s) inside the epub and remove all references to any defined font.
Calibre also has a plugin called Modify Epub that, amongst other things, let you remove internal font settings from an epub file. Once you have installed it, select the epub files you want to modify this way, click the Modify Epub icon on the toolbar, and select the corresponding option, as shown on the picture. It will remove both the custom fonts inside the book and the references to them on the CSS.
Please note that if you process many ebooks at once it may require some time to complete this task.