I tested it out a bit now, it seems the pause menu does actually work and changes intensity correctly. But the main menu doesn't work! If you change intensity in the main menu, the game still plays transitions on the previous intensity level. The only way to update intensity is to open pause menu and go to the settings page, you don't actually need to click on the toggle, intensity instantly updates when the page is opened already.
Basically the only way transition intensity is updated is from the pause menu, the main menu only updates the text that is displayed on the setting toggle, but the actual intensity value is unchanged.
Also this does not happen for the hat lmao, the setting works from both pause and main menus. Don't know how I didn't notice that you only get the hat on serious mode! But yeah, I'd advise trying to replicate this and if this behavior is consistent, updating the page to warn people.