First, the place to set the PIN is in the Apps > Hubitat Dashboard > (your Dashboard), i.e, the actual app, not the App Status (cogs/gear icon) page, but since you were actually able to do that, I'm guessing that was right and maybe you are just mentioning that there was such an icon next to the app (which is true and should be for all apps--but it's a different link, and one you won't really need except possibly for troubleshooting).
Second, this only affects that particular dashboard in Hubitat Dashboard. I'm not sure where you're changing things in your browser or the mobile app. Both of these let you use a Dashboard, but if you aren't using that Dashboard, these settings won't be applicable (e.g., you could navigate to the HSM app itself on your hub and change it there, and it doesn't affect any other automations you might use to change HSM). Are you using Dashboard when you see this? I just tested the setting on one of my Dashboards, and it works as expected. Do make sure you hit "Done" in the dashboard app to save the changes--maybe that was it? Otherwise, if you weren't using Hubitat Dashboard for the rest of it, that could explain it.