Changing game language via PKHeX doesn't have the effect you'd expect at the moment. Not even research into what exactly needs to be changed for the game to reflect the changes yet.
Thanks for reporting. Looks like Vanilla Cream is missing: https://github.com/kwsch/PKHeX/blob/master/PKHeX.Core/PKM/Util/FormConverter.cs#L913
Could you by any chance .zip up what you have and share it with us?
Make sure OneDrive is running and signed in.
Also try moving the entire PKHeX executable elsewhere on the PC. You can also put all the files into one folder, right-click that and select "Always keep on this device" so the files are always available.