Ludwig -
This is the correct functionality.
When you change the record and choose a different person via the combo box, you are changing (editing) who that record is associated with. Only for that record.

Now that you have watched this lesson go watch the Contacts if you haven't already.  That video explains, in a slightly different way, how to get the specific note to "follow" or be associated with, a specific person.

If that still doesn't help make sense, come back and ask more questions.  This is an important concept in your learning.