I can give you a theory. It's just a theory though.
Some people think that a network card simply has a MAC address, as if it's something inherent and permanent in the network card.
Other people see a MAC address as something more fluidic; for instance, you could think of a network card's MAC address as "the source MAC address it puts in the frames it sends out".
I could well imagine that a particular network card, when queried by the operating system as to its MAC address, will always give its original MAC address that it was assigned in the factory. This doesn't mean to say though that the network card is sending out Ethernet frames using that MAC address as the source address.
So basically my theory is this: You changed your MAC address and it was successful, i.e. the network card is using the new MAC address as the source of the frames it sends. However, when the operating system queries the MAC address of the network card, the network card always tells it its original MAC.
So when you go to open a new capture in Wireshark, it queries your network card for its MAC address, this might be why you're seeing the original MAC address. However once the capture starts, you're seeing the new MAC address in the packet capture box because that's the MAC that's being used for sending frames.