Since I'm not looking at your file, I can only guess what's going on, but here's something to consider. Sometimes people don't realize which master pages are assigned to their document pages, so when they edit a master, nothing happens on the document pages. If you're sure you are editing the correct master page and not getting any results, try trashing your preferences.
Document settings have no influence on the layout. YOu have to adjust your master pages for the margins. For the column gutter also your object styles.
Let me amplify Willi's comment...
After the initial creation of the file, Document setup can be used to change the page size and bleed/slug settings, but that's all. There should be no access at all in an exisiting file to margins or columns from anywhere but the Layout menu. Depending on what page is active, changing the margins will affect only an active document page or group of selected pages inthe pages panel, or a selected master page and any masters based on it if you have a master page active. Changing the master page will only update margins on the documetn page if you have not previously adjusted them directly.