There's nothing wrong. You're not supposed to see any change as long as you're in a color managed environment. You can calibrate your monitor to any gamma you like, or any irregular tone response curve for that matter, and there's no visual difference. However, you do want to stay close to the native gamma just so the monitor can behave at its best (no dramatic adjustments).
This is all part of the monitor profile, which, after all, is just a description of the monitor's response. Gamma is an aspect of that response.
To turn this upside down, you can also have document color spaces with different gamma encodings and you don't see a difference, like ProPhoto (1.8) and Adobe RGB (2.2).
Move outside color management, however, and it's a different story. There you will see a difference because there's no remapping. This is why you should use 2.2 because files intended to be seen in a non-color-managed environment will already be 2.2 encoded, like an sRGB file.