Hm, which extensions do you run? maybe try turning them off and test again (I test with my extensions, and there it works) :) maybe some incompatibility there?
Or maybe you oversee the
[DEF EFFECTS +X] part in the message? The cover buttons in the modifier window affect the attack roll directly, but when you attack a target with a cover effect then the adjustment will happen in the attack message applied to the target, see the image (
EDIT: Oh, as effect I used
PCOVER while I used the button for
COVER, thence, the different modifiers :) ):