Hi Martin,
You are correct to change the notation in the model options. When I changed mine to Conceptual, the crows feet show on my diagram. I am not sure why this isn't working in your case. It's also strange that you are able to see the desired notation in the reference properties.
Have you tried creating a new physical model and seeing if you can get the conceptual notiation to show? It might be related to the reverse engineering.
I am running PD 16.5 EBF 3. If you are using an earlier 16.5 release, please upgrade to EBF 3 to see if it's still happening at the current release.
Adam