It sounds like you are setting the images properly in the CSS Menu Writer interface. All you do is use the folder icon to select the new source of the images. However, if you have made this edit by clicking on the edit menu button you are only saving these changes to the preset, not to the menu that has been applied to the page.
You will need to either edit the design for the menu on the page or to make this update or apply a new menu based on your updated preset.