Web.config transformations as they are defined in the Web.Release.config are only done when deploying/publishing the project for the relevant configuration.
Just changing the active configuration in Visual Studio to Release and running the application does not run the transformations. Therefore, the web.config remains unchanged. This behavior is reasonable by the way as a web application is run from the project directory that contains the original web.config. If Visual Studio were to transform the web.consign, your original web.config would be changed.
If you haven't created a deployment profile yet, you can publish your application to the file system to verify the behavior. Choose Release as the configuration to run the deployment for. The transformations should be executed as expected.