I use GNOME terminal and zsh wont change to bash.
I too get the „Shell not changed“ and do not find preferences in gnome terminal to set for bash.
In zsh basic stuff i am used to does not work, like POS1 and END key or most of the autocompletions.
So I strongly disagree that it is better like mentioned in this thread earlier. And there is syntax highlight for bash too at least it is in ubuntu gnome terminal.
EDIT: After restart it worked.