Using the "Custom change address" feature only works for addresses part of your wallet.
Sending change to an address outside of your wallet is not supported currently.
If you try this, a "Warning: Unknown change address" is shown and the change will be sent to a newly generated address.
So in your case the wallet created a new change address and sent the change there.
The reason is we supported this feature in earlier versions of coin control, but removed it for safety reasons.
So people do not accidentally send all their coins as change to someone else.
This is no bug, but I agree that the current behavior is a little confusing to the user.
We should either
- reject sending to a foreign change address
- ask "Are you really really sure?" and then enable this feature again
- or at least change the message to "Unknown change address -> change will be sent to a newly generated address"
You can create an issue "Sending custom change to a foreign address in coin control is confusing" (or similar title) for this, if you like:
https://github.com/bitcoin/bitcoin/issues
