It’s not an instaneous change in gravatar display that we experience. The data is cached and it takes time while your gravatar image propagates. If you are still experiencing the no change problem in a couple of days from now then you can go to the gravatar site and read the FAQs as it contains common questions and answers to them.
I’m not clear on whether or not you want to have a different image used as a favicon or blavatar that the one you use as your gravatar. You can upload a Blavatar by visiting Settings -> General in your blog’s dashboard.