To change the font you have to use the font tab-folder icon - navigate to your fonts folder - select font.
(This is Linux in windows you will have a different font folder.)
The transform font drop-down it to transform your font not change it. I think the object font option is for using a 3d object as a font but I have never used it so not sure.
From the manual:
Object Font
Allows individual objects to be used to render fonts, you can create/model your own complex font inside Blender! This field is used to select the objects prefix name (object “family”) to be used to locate the individual characters used for typing. This is quite a complex process, so here are detailed steps to follow:
1. Create the font characters, each character can be any object type (mesh, curve, etc.). They must all have a name following the naming schema: “common prefix” followed by the “character name” (e.g. “ft.a”, “ft.b”, etc.).
2. For the Text object, enable Instancing Vertices.
3. In the Font tab, fill the Object Font field with the “common prefix” of your “font” objects. Now, each time a character in your text matches the suffix part of a “font” object’s name, this object is duplicated on this ch