Still present in 5.5.0f3 :(

You can follow the issue here : https://issuetracker.unity3d.com/issues/runtime-changes-to-friction-or-bounciness-in-physics-material-2d-have-no-effect-on-objects-which-use-that-physicsmaterial2d

This is still present in some form in 5.3.4f1.

The material change seems to only take effect after the collider has encountered a different collider than the one where the change occurred.

Here's a video I took: https://www.youtube.com/watch?v=x8LWTBRGhMI&feature=youtu.be

When the character collides with a surface, it changes to one of 3 materials:
a) The char is moving uphill, it gets a high friction material (and gravity is removed so it doesn't slide down).
b) The char is on a flat surface, it slows down fairly quickly.
c) The char lands on a hill going down, it should slide down with basically no friction.

The slide happens instead when it hits the first flat surface after going downhill. The second flat surface it comes into contact triggers the normal ground behavior because that's the collider after the flat surface material takes effect.

I've had this bug too.

This code will not have effect:

public PhysicsMaterial2D matToChange;
void changeMaterial(){
collider2D.sharedMaterial = matToChange;
}

The object will keep acting like its physics material wasn't changed.

Also, if we pre-apply the material in editor, and cahnge its parameters, it will not work too:

void changeFriction(float newF){
matGo.friction = newF;
}

But this will work:

void changeFriction(float newF){
matGo.friction = newF;
collider2D.enabled = false;
collider2D.enabled = true;
}

And this will work too:

public PhysicsMaterial2D matToChange;
void changeMaterial(){
collider2D.sharedMaterial = matToChange;
collider2D.enabled = false;
collider2D.enabled = true;
}

You see? It seems like some kind of refreshing step required to make the physics material change be applied. And we can force that refresh by disabling+enabling the collider component. But this seems rather like a bug.