how to change MAC address

Hi at all,
I'm a sysadmin in an Italian college; for security reason, our PXE 
server allows only few and well known MAC addresses. When I change mac 
address with gPXE command:

gPXE> set net0/mac ff:ff:ff:11:22:33

and then I check new mac address with:

gPXE> show net0/mac
net0/mac = ff:ff:ff:11:22:33

it seems changed, but if I want to get a DHCP address, with:

gPXE>dhcp net0

I receive 'Connection timed out' error.
With Wireshark, I found that mac address is not changed, but is only 
spoofed; in fact, every ethernet frame send by the card has as source 
address the original network card mac address, but DHCP request has done 
with new mac address (ff:ff:ff:11:22:33). Of course, our dhcp server, 
replies with a DHCP offer to new mac address, so the network card cannot 
accept the offer.

My question is: is this behaviour right ? I mean, command 'set netX/mac' 
should be only use for spoofing mac address in network request, or 
should really change mac address, like unix command 'ifconfig eth0 hw 
ether ff:ff:ff:11:22:33' ??

Thank you,
    Marco

------------------------------------------------------------------------------