Do you mean that something actually goes wrong, or it just keeps pointing to the old location?
I just did a quick test and this works:
cp -r example.com asdf-example.com
Then, edited the domain in the CP and just changed the path, then saved the fully hosted settings.
It took affect in less than a minute.
Now, if you're changing it to a directory that doesn't already exist, I'm not sure if that would be the problem or not. I created it first and manually copied the site into it, then entered it in the CP.
Does that help?
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