That setting is for the Show All Orders ...
If you look in the file:
/includes/modules/pages/account/header_php.php
you will see the limit in the SELECT statement is set to 3:
$orders_query = "SELECT o.orders_id, o.date_purchased, o.delivery_name,
o.delivery_country, o.billing_name, o.billing_country,
ot.text as order_total, s.orders_status_name
FROM " . TABLE_ORDERS . " o, " . TABLE_ORDERS_TOTAL . " ot, " . TABLE_ORDERS_STATUS . " s
WHERE o.customers_id = :customersID
AND o.orders_id = ot.orders_id
AND ot.class = 'ot_total'
AND o.orders_status = s.orders_status_id
AND s.language_id = :languagesID
ORDER BY orders_id DESC LIMIT 3";