I'm sure it actually works, just that you need to understand what to expect.
First of all, adobe doesn't use colour classes, they use labels. So in order for adobe to pick up on your changes of the colour classes you need to match the descriptions (and their colours) for the colour classes in PM with those in the Adobe suites. Exact wording must be used!
When you say your changes aren't visible in the exif, I reckon you looked at the value of the colour class tag using e.g. Exiftool? Exiftool doesn't know about any change to the description you made to the colour class definitions and will always show the original name for a particular colour class number. For the correct description, have a look at the label tag instead. You'll see that reflect your setup.
Hope this helps,
Hayo