Unfortunately I am unable to reproduce your problem.

I followed your description - “changed Flute to Alto Flute on the measure 81 using Utility -> Change Instruments” - it DID transpose, and I can see the change in ScoreManager - Instrument List.

To reproduce the problem we need more info from you, like e. g. your steps when trying to change instrument.

Hi Peter, I selected the measure 81, chose utility, change instruments and selected Alto Flute from the list. Then Finale started to loading sounds but it didn't transpose or display the change in the score Manager. I started with Piccolo for the first staff then changed it to Flute at some point and now I need to change it to Alto Flute but it doesn't seem to work for me for some reason.

I created two new documents. One with Flute and the second one with Piccolo. 

Flute file -> changing to Alto Flute actually transposes to Alto Flute key and it works perfectly

Piccolo file -> changing to Flute works but then when I want to change to Alto Flute it suddenly DOESN'T as on my main project file.

Unfortunately I am unable to reproduce your problem.

I followed your description - “create document with Piccolo, change Piccolo to Flute, change Flute to Alto Flute using Utility -> Change Instruments” - it DID transpose, and I can see the change in ScoreManager - Instrument List.

To reproduce the problem we need more info from you, like e. g. what Finale version, Windows or Mac, (all) your steps when trying to change instrument.