Have you taken a look in the FAQ? The preferences apply to new documents, not existing documents - if you want to change the font of existing documents to what is assigned in the Preferences, select the documents you wish to change and go to Documents > Convert > Formatting > to Default Style. Remember that Scrivener is rich text so each document may have multiple fonts - if changing the preferred font in the preferences immediately changed everything without the user instigating it, it could destroy lots of font information behind the user’s back.
Thanks for trying out Scrivener!
All the best,
P.S. Ah, I see Mark has caught that you were changing the notes font. That may be the issue.